This paper introduces a multiple quantile utility model of Cumulative Prospect Theory in an ambiguous setting.We show a representation theorem in which a prospect is valued by a composite value function. The composite value function is able to represent asymmetric attitude on extreme events and a rational prudence on ordinary events.
Basili, M., Chateauneuf, A. (2011). Extreme events and entropy: a multiple quantile utility model. INTERNATIONAL JOURNAL OF APPROXIMATE REASONING, 52, 1095-1102 [10.1016/j.ijar.2011.05.005].
Extreme events and entropy: a multiple quantile utility model
BASILI, MARCELLO;
2011-01-01
Abstract
This paper introduces a multiple quantile utility model of Cumulative Prospect Theory in an ambiguous setting.We show a representation theorem in which a prospect is valued by a composite value function. The composite value function is able to represent asymmetric attitude on extreme events and a rational prudence on ordinary events.File in questo prodotto:
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https://hdl.handle.net/11365/21766
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