Extreme events and entropy: A multiple quantile utility model
نویسندگان
چکیده
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.
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ورودعنوان ژورنال:
- Int. J. Approx. Reasoning
دوره 52 شماره
صفحات -
تاریخ انتشار 2011