An Axiomatization of Cumulative Prospect Theory for Decision Under Risk
Alain Chateauneuf () and
Papiers d'Economie MathÃ©matique et Applications from UniversitÃ© PanthÃ©on-Sorbonne (Paris 1)
Cumulative prospect theory was introduced by Tversky and Kahneman to combine the empirical realism of their original prospect theory with the theoretical advantages of rank-dependent utility. Preference axiomatizations were provided in several papers. All exosting axiomatizations, however, only consider decision under uncertainty, and no axiomatization has as yet been provided for decision under risk. Providing the latter is the purpose of this note. The axiomatization is considerably simpler than those for uncertainty.
Keywords: RISK; DECISION MAKING; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C10 C5 D81 (search for similar items in EconPapers)
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Journal Article: An Axiomatization of Cumulative Prospect Theory for Decision under Risk (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:98.51
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