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On the potential for observational equivalence in experiments on risky choice when a power utility function is assumed

Peel, David and Zhang, Jie (2012) On the potential for observational equivalence in experiments on risky choice when a power utility function is assumed. Economics Letters, 116 (1). pp. 8-10. ISSN 0165-1765

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    Abstract

    We demonstrate theoretically and illustrate the implications of assuming power utility when the true function is of the expo-power form. Empirical results can appear to be consistent with cumulative prospect theory when they are in fact generated from a Markowitz model.

    Item Type: Article
    Journal or Publication Title: Economics Letters
    Uncontrolled Keywords: Cumulative prospect theory
    Subjects: H Social Sciences > HB Economic Theory
    Departments: Lancaster University Management School > Economics
    ID Code: 55624
    Deposited By: ep_importer_pure
    Deposited On: 10 Jul 2012 10:21
    Refereed?: Yes
    Published?: Published
    Last Modified: 14 Jan 2013 15:03
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/55624

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