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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Official URL: http://dx.doi.org/10.1016/j.econlet.2011.12.116
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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