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- W3125648433 abstract "The present paper combines loss attitudes and linear utility by providing an axiomatic analysis of corresponding preferences in a cumulative prospect theory (CPT) framework. In a sense we derive a two-sided variant of Yaari’s dual theory, i.e., nonlinear probability weights in the presence of linear utility. The first important difference is that utility may have a kink at the status quo, which allows for the exhibition of loss aversion. Also, we may have different probability weighting functions for gains than for losses. We apply the model to both portfolio selection and insurance demand. Our results show that CPT with linear utility has more realistic implications than the dual theory since it implies only a weakened variant of plunging. Mathematics Subject Classification (2000): 91B08, 91B28, 91B30 Journal of Economic Literature Classification: D81, G11, G22" @default.
- W3125648433 created "2021-02-01" @default.
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- W3125648433 date "2002-01-01" @default.
- W3125648433 modified "2023-09-27" @default.
- W3125648433 title "Linear Cumulative Prospect Theory with Applications to Portfolio Selection and Insurance Demand" @default.
- W3125648433 hasPublicationYear "2002" @default.
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