Small and Large-Scale Monetary Gambles and Behavioral-Preference Approaches

Dorsaf Ben Aissia

《Advances in Quantitative Analysis of Finance and Accounting》 12期 (2014/10) Pp. 229-250

https://doi.org/10.6293/AQAFA.2014.12.09

並列摘要

We investigate different behavioral-preference approaches. Our purpose is to examine the performance of the behavioral-utility models in explaining investor's attitudes towards small and large-scale monetary gambles. Based on data of the Deal or No Deal TV game show, we assess the performance of the loss-aversion model and the cumulative prospect theory model. We find that cumulative prospect theory model present a better performance since it introduces in the contestant utility a probability weighting function. We also explore the performance of two others models of the rank-dependant utility namely the Quiggin (1982) and the power probability weighting models. We show that both models outperform the loss aversion model with a linear probability function.

並列關鍵字

Behavioral-Utility Models ； Small and Large-Scale Monetary Gambles ； Loss-Aversion Model ； The Cumulative Prospect Theory Model ； Rank-Dependant Utility

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