# Cumulative Prospect Theory: Tests Using The Stochastic Dominance Approach

Haim Levy

Published 2011 · Economics

This paper references

10.1111/j.1540-6261.1992.tb04398.x

The Cross‐Section of Expected Stock Returns

Eugene F. Fama (1992)

10.1016/0304-405X(77)90009-5

A Critique of the Asset Pricing Theory''s Tests: Part I

R. Roll (1977)

Tests of Cumulative Prospect Theory with graphical displays of probability

M. Birnbaum (2008)

10.2307/2118511

Myopic Loss Aversion and the Equity Premium Puzzle

S. Benartzi (1993)

10.1086/260061

RISK, RETURN AND EQUILIBRIUM: EMPIRICAL TESTS

Eugene F. Fama (1973)

10.1111/0022-1082.00247

Conditional Skewness in Asset Pricing Tests

C. Harvey (2000)

10.1111/j.1540-6261.1964.tb02865.x

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

W. Sharpe (1964)

10.1287/MNSC.46.11.1497.12080

Parameter-Free Elicitation of Utility and Probability Weighting Functions

M. Abdellaoui (2000)

10.1023/A:1007739018615

Measuring the Utility of Losses by Means of the Tradeoff Method

H. Fennema (1998)

10.1111/j.1540-6261.1976.tb01961.x

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS

A. Kraus (1976)

10.2307/1912631

"Expected Utility" Analysis without the Independence Axiom

M. Machina (1982)

10.1016/J.JOEP.2009.05.004

A parameter-free analysis of the utility of money for the general population under prospect theory

A. Booij (2009)

10.1002/(SICI)1099-0771(199909)12:3<183::AID-BDM318>3.0.CO;2-F

Mental accounting matters

R. Thaler (1999)

10.1016/0167-2681(82)90008-7

A theory of anticipated utility

J. Quiggin (1982)

10.2307/2296431

Efficiency analysis of choices involving risk

G. Hanoch (1969)

10.1007/BF00122574

Advances in prospect theory: Cumulative representation of uncertainty

A. Tversky (1992)

10.2307/1907921

Le comportement de l'homme rationnel devant le risque: Critique des postulats et axiomes de l'ecole Americaine.

M. Allais (1953)

10.1007/BF01065371

Violations of the betweenness axiom and nonlinearity in probability

C. Camerer (1994)

10.1086/260670

On Handa's "New Theory of Cardinal Utility" and the Maximization of Expected Return

P. Fishburn (1978)

10.1016/S0749-5978(02)00011-0

Experimental test of the prospect theory value function: A stochastic dominance approach

H. Levy (2002)

10.1007/BF00209389

Prospective reference theory: Toward an explanation of the paradoxes

W. Viscusi (1989)

10.1287/mnsc.48.10.1334.276

Prospect Theory: Much Ado About Nothing?

M. Levy (2002)

10.1086/256692

The Utility Analysis of Choices Involving Risk

M. Friedman (1948)

Rules for Ordering Uncertain Prospects

Josef Hadar (1969)

10.2307/1914185

Prospect theory: An analysis of decision under risk Econometrica 47

D. Kahneman (1979)

10.2307/2296205

Liquidity Preference as Behavior Towards Risk

J. Tobin (1958)

10.1287/mnsc.1070.0711

Loss Aversion Under Prospect Theory: A Parameter-Free Measurement

Mohammed Abdellaoui (2007)

10.1287/mnsc.49.7.979.16383

The Data of Levy and Levy (2002) "Prospect Theory: Much Ado About Nothing?" Actually Support Prospect Theory

P. Wakker (2003)

10.1016/0304-405X(93)90023-5

Common risk factors in the returns on stocks and bonds

Eugene F. Fama (1993)

10.1007/978-94-015-7957-5_4

Increasing Risk: I. A Definition

M. Rothschild (1970)

10.1287/mnsc.1050.0544

Violations of Cumulative Prospect Theory in Mixed Gambles with Moderate Probabilities

Guido Baltussen (2006)

10.1287/MNSC.42.12.1676

Curvature of the Probability Weighting Function

George Wu (1996)

10.2307/1913731

Consumer Demand Functions under Conditions of Almost Additive Preferences

A. Barten (1964)

10.1111/j.1540-6261.1965.tb02930.x

SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION†

J. Lintner (1965)

Prospect Theory : An Analysis of Decision under Risk

E C O N OMETRICA (2007)

10.1111/j.1540-6261.1980.tb03508.x

Co-Skewness and Capital Asset Pricing

I. Friend (1980)

10.1016/S0165-1765(01)00377-9

Testing for risk aversion: a stochastic dominance approach

M. Levy (2001)

10.1037/h0038674

Subjective probabilities inferred from decisions.

W. Edwards (1962)

10.2307/2998573

The Probability Weighting Function

D. Prelec (1998)

10.1111/j.1540-6261.1967.tb01651.x

RISK AND THE REQUIRED RETURN ON EQUITY

F. Arditti (1967)

10.1111/1468-0262.00158

Risk Aversion and Expected Utility Theory: A Calibration Theorem

M. Rabin (2000)

This paper is referenced by