@article{ Peel2008,
 title = {The Markowitz  Model of Utility supplemented with a small degree of Probability Distortion  as an explanation of  Outcomes of Allais Experiments over Large and Small Payoffs and Gambling on Unlikely Outcomes.},
 author = {Peel, David},
 journal = {Applied Economics},
 number = {1},
 pages = {17-26},
 volume = {40},
 year = {2008},
 issn = {1466-4283},
 urn = {},
 abstract = {We show that in principal only a small degree of probability distortion is necessary for agents  to exhibit the Allais paradox. We also show that the choices observed in the Allais experiments employing small real payoffs cannot be explained by Cumulative Prospect Theory  without the assumption of low degrees of  probability distortion that  rule out gambling at unfair odds on all but the most extreme longshots in CPT.
Given these  points we show  that  the  Markowitz model of utility supplemented by a small degree of probability distortion  can explain the majority choices involved Allais experiments and other experiments  as well as gambling at actuarially unfair odds.},