کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
397923 | 1438481 | 2011 | 8 صفحه PDF | دانلود رایگان |
This paper introduces a multiple quantile utility model of Cumulative Prospect Theory in an ambiguous setting. We show a representation theorem in which a prospect is valued by a composite value function. The composite value function is able to represent asymmetric attitude on extreme events and a rational prudence on ordinary events.
► We introduce a multiple quantile utility model of Cumulative Prospect Theory with multiple priors.
► We give a representation theorem of a prospect valued by a composite value function.
► Composite value function is an inverse cumulative function that is summation of three Choquet integrals.
► Composite value function is a fat-tailed function.
► Composite value function can be modelled by using a class of ε-contaminated probabilities.
Journal: International Journal of Approximate Reasoning - Volume 52, Issue 8, November 2011, Pages 1095–1102