Invariant Value Functions under Cumulative Prospect Theory
S. Wójcik
Department of Mathematical Statistics, Statistical Office in Rzeszów, Jana III Sobieskiego 10, 35-959 Rzeszów, Poland
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In this paper the notion of the preference homogeneity is extended. We determine the value functions under the cumulative prospect theory such that the certainty equivalents related to them are invariant with respect to some classes of transformations.

DOI: 10.12693/APhysPolA.129.955
PACS numbers: 89.20.-a, 89.65.Gh