The Probability Weighting Function

Drazen Prelec

Econometrica, 1998, vol. 66, issue 3, 497-528

Abstract: A probability weighting function w(p) is a prominent feature of several nonexpected utility theories, including prospect theory and rank-dependent models. Empirical estimates indicate that w(p) is regressive with respect to the diagonal (w(p) > p for small p, and w(p)

Date: 1998
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