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Skewness as an Explanation of Gambling in Cumulative Prospect Theory

[Zeitschriftenartikel]

Peel, David; Law, DAvid

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-241654

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Abstract Skewness of return has been suggested as a reason why agents might choose to gamble, ceteris paribus, in Cumulative Prospect Theory (CPT). We investigate the relationship between moments of return in two models where agents choices over uncertain outcomes are determined as in CPT. We illustrate via examples that in CPT theory, as with expected utility theory, propositions that agents have a preference for skewness may be invalid.
Publikationsjahr 2009
Seitenangabe S. 685-689
Zeitschriftentitel Applied Economics, 41 (2009) 6
DOI http://dx.doi.org/10.1080/00036840601007476
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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