Greco, Salvatore and Rindone, Fabio (2011): The bipolar Choquet integral representation.

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Abstract
Cumulative Prospect Theory of Tversky and Kahneman (1992) is the modern version of Prospect Theory (Kahneman and Tversky (1979)) and is nowadays considered a valid alternative to the classical Expected Utility Theory. Cumulative Prospect theory implies GainLoss Separability, i.e. the separate evaluation of losses and gains within a mixed gamble. Recently, some authors have questioned this assumption of the theory, proposing new paradoxes where the GainLoss Separability is violated. We present a generalization of Cumulative Prospect Theory which does not imply GainLoss Separability and is able to explain the cited paradoxes. On the other hand, the new model, which we call the bipolar Cumulative Prospect Theory, genuinely generalizes the original Prospect Theory of Kahneman and Tversky (1979), preserving the main features of the theory. We present also a characterization of the bipolar Choquet Integral with respect to a bicapacity in a discrete setting.
Item Type:  MPRA Paper 

Original Title:  The bipolar Choquet integral representation 
English Title:  The bipolar Choquet integral representation 
Language:  English 
Keywords:  Cumulative Prospect Theory; GainsLoss Separability; bi Weighting Function; Bipolar Choquet Integral 
Subjects:  D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60  General 
Item ID:  38957 
Depositing User:  Fabio Rindone 
Date Deposited:  22 May 2012 20:54 
Last Modified:  02 Apr 2018 14:12 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/38957 