Positive Homogeneity of the Principle of Equivalent Utility
J. Chudziak, M. Chudziak, B. Sobek
Faculty of Mathematics and Natural Sciences, University of Rzeszów, Prof. S. Pigonia 1, 35-310 Rzeszów, Poland
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We prove that if the principle of equivalent utility under the cumulative prospect theory is positively homogeneous on a relatively small family of risks for every non-negative initial wealth level, then a value function is linear for gains and losses, but, in general, it needs not be linear.

DOI: 10.12693/APhysPolA.129.941
PACS numbers: 89.65.Gh