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2016 | 129 | 5 | 941-944
Article title

Positive Homogeneity of the Principle of Equivalent Utility

Content
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Languages of publication
EN
Abstracts
EN
We prove that if the principle of equivalent utility under the cumulative prospect theory is positively homogeneous on a relatively small family of risks for every non-negative initial wealth level, then a value function is linear for gains and losses, but, in general, it needs not be linear.
Keywords
EN
Contributors
author
  • Faculty of Mathematics and Natural Sciences, University of Rzeszów, Prof. S. Pigonia 1, 35-310 Rzeszów, Poland
author
  • Faculty of Mathematics and Natural Sciences, University of Rzeszów, Prof. S. Pigonia 1, 35-310 Rzeszów, Poland
author
  • Faculty of Mathematics and Natural Sciences, University of Rzeszów, Prof. S. Pigonia 1, 35-310 Rzeszów, Poland
References
  • [1] M. Kałuszka, M. Krzeszowiec, Insur. Math. Econ. 50, 159 (2012), doi: 10.1016/j.insmatheco.2011.11.001
  • [2] D. Denneberg, Lectures on Non-Additive Measure and Integral, Kluwer, Boston 1994
  • [3] J. Chudziak, M. Halicki, S. Wójcik, Acta Phys. Pol. A 127, A-29 (2015), doi: 10.12693/APhysPolA.127.A-29
  • [4] A. Reich, ASTIN Bull. 14, 123 (1984)
  • [5] S. Heilpern, Insur. Math. Econ. 33, 67 (2003), doi: 10.1016/S0167-6687(03)00144-6
  • [6] J. Chudziak, Z. Kočan, Results Math. 66, 199 (2014), doi: 10.1007/s00025-014-0372-8
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv129n509kz
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