Violations of cumulative prospect theory in mixed gambles with moderate probabilities

Guido Baltussen; Thierry Post; Pim Van Vliet

doi:10.1287/mnsc.1050.0544

Violations of cumulative prospect theory in mixed gambles with moderate probabilities

Guido Baltussen, Thierry Post, Pim Van Vliet

Research output: Contribution to journal › Article › peer-review

30 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	1288-1290
Number of pages	3
Journal	Management Science
Volume	52
Issue number	8
DOIs	https://doi.org/10.1287/mnsc.1050.0544
Publication status	Published - 2006
Externally published	Yes

Keywords

Cumulative prospect theory
Expected utility
Individual decision making under risk
Mixed gambles
Stochastic dominance

ASJC Scopus subject areas

Strategy and Management
Management Science and Operations Research

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10.1287/mnsc.1050.0544

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abstract = "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.",

keywords = "Cumulative prospect theory, Expected utility, Individual decision making under risk, Mixed gambles, Stochastic dominance",

author = "Guido Baltussen and Thierry Post and {Van Vliet}, Pim",

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KW - Expected utility

KW - Individual decision making under risk

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KW - Stochastic dominance

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Violations of cumulative prospect theory in mixed gambles with moderate probabilities

Abstract

Keywords

ASJC Scopus subject areas

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