期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2017
期号：4
页码：275-321
语种：English
出版社：Polska Akademia Nauk
摘要：The main focus of this tutorial/review is on presenting Prospect Theoryin the context of the still ongoing debate between the behavioral (mainlydescriptive) and the classical (mainly normative) approach in decision theoryunder risk and uncertainty. The goal is to discuss Prospect Theory vs. ExpectedUtility in a comparative way. We discuss: a) which assumptions (implicit andexplicit) of the classical theory are being questioned in Prospect Theory; b)how does the theory incorporate robust experimental evidence, striving, at thesame time, to find the right balance between the basic rationality postulates ofExpected Utility (e.g. monotonicity wrt. First-Order Stochastic Dominance),psychological plausibility and mathematical elegance; c) how are risk attitudesmodeled in the theory. In particular we discuss prospect stochastic dominanceand the three-pillar structure of modeling risk attitudes in Prospect Theoryinvolving: the non-additive decision weights with lower and upper subadditivityand their relationship to the notions of pessimism and optimism, as well aspreferences towards consequences separated into preferences within and acrossthe domains of gains and losses (corresponding to basic utility and loss aversion),d) example applications of Prospect Theory.
关键词：rank-dependence;independence;loss aversion;prospect stochastic dominance;pessimism and optimism
