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2016 | 129 | 5 | 950-954
Article title

On the Foster-Hart Measure of Riskiness under Cumulative Prospect Theory

Content
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EN
Abstracts
EN
We prove the existence of the Foster-Hart measure of riskiness under the cumulative prospect theory and we study some of its basic properties.
Keywords
EN
Contributors
author
  • Faculty of Mathematics and Natural Sciences, University of Rzeszów, Prof. St. Pigonia 1, 35-310 Rzeszów, Poland
author
  • Department of Regional Politics and Food Economy, University of Rzeszów, M. Ćwiklińskiej 2, 35-601 Rzeszów, Poland
References
  • [1] P. Artzner, F. Delbaen, J.-M. Eber, D. Heath, Math. Finance 9, 203 (1999), doi: 10.1111/1467-9965.00068
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  • [3] D.P. Foster, S. Hart, J. Politic. Econ. 117, 785 (2009), doi: 10.1086/644840
  • [4] F. Riedel, T. Hellmann, Theor. Econom. 10, 1 (2015), doi: 10.3982/TE1499
  • [5] T. Hellmann, F. Riedel, J. Math. Econ. 59, 66 (2015), doi: 10.1016/j.jmateco.2015.05.005
  • [6] A. Tversky, D. Kahneman, J. Risk Uncertainty 5, 297 (1992), doi: 10.1007/BF00122574
  • [7] D. Denneberg, Lectures on Non-Additive Measure and Integral, Kluwer, Boston 1994
  • [8] B. Sobek, Demonstratio Math. 43, 81 (2010)
  • [9] M. Kuczma, An Introduction to the Theory of Functional Equations and Inequalities, Birkhäuser, Berlin 2009
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv129n511kz
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