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Journal
Acta Physica Polonica A
2016
|
129
|
5
| 950-954
Article title
On the Foster-Hart Measure of Riskiness under Cumulative Prospect Theory
Authors
J. Chudziak
,
M. Halicki
Content
Full texts:
Title variants
Languages of publication
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
89.65.Gh
Discipline
89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
Publisher
Institute of Physics, Polish Academy of Sciences
Journal
Acta Physica Polonica A
Year
2016
Volume
129
Issue
5
Pages
950-954
Physical description
Dates
published
2016-05
Contributors
author
J. Chudziak
Faculty of Mathematics and Natural Sciences, University of Rzeszów, Prof. St. Pigonia 1, 35-310 Rzeszów, Poland
author
M. Halicki
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
[2] H. Föllmer, A. Schied, Finance Stoch. 6, 429 (2002), doi: 10.1007/s007800200072
[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
DOI
10.12693/APhysPolA.129.950
YADDA identifier
bwmeta1.element.bwnjournal-article-appv129n511kz
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