Construction of probability metrics on classes of investors

Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank Fabozzi ()

Economics Letters, 2009, vol. 103, issue 1, 45-48

Abstract: We introduce functionals with metric properties defined on classes of investors allowing inference about relations between prospects. In this context, we introduce the class of investors with balanced views. Our approach is consistent with Cumulative Prospect Theory.

Keywords: Probability; metrics; Cumulative; prospect; theory (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:103:y:2009:i:1:p:45-48

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