期刊
JOURNAL OF MATHEMATICAL ECONOMICS
卷 45, 期 3-4, 页码 308-319出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jmateco.2008.12.001
关键词
Comonotonic sure-thing principle; Cumulative prospect theory; Linear utility; Loss aversion
The present paper combines loss attitudes and linear utility by providing an axiomatic analysis of cumulative prospect theory (CPT) in the framework for decision under uncertainty. We derive a two-sided variant of Choquet expected utility (CEU) with possibly different capacities for gains and for losses, and linear utility. Naturally, utility may have a kink at the status quo, which allows for the exhibition of loss aversion. The central condition of our model is termed independence of common increments. (C) 2008 Elsevier B.V. All rights reserved.
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