Violations of cumulative prospect theory in mixed gambles with moderate probabilities

• 成果类型: Article
• 署名作者: Baltussen, Guido; Post, Thierry; van Vliet, Pim
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tinbergen Institute
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1050.0544
• 发表日期: 2006
• 页码: 1288-1290
• 关键词: Cumulative prospect theory; expected utility; mixed gambles; stochastic dominance; individual decision making under risk

摘要

In a classroom choice experiment with mixed gambles and moderate probabilities, we find severe violations of cumulative prospect theory (CPT) and of Markowitz stochastic dominance. Our results shed new light on the exchange between Levy and Levy (2002) and Wakker (2003) in this journal.