http://prospect-theory.behaviouralfinance.net/

我曾经介绍的网站里面有《Advances in prospect theory ：Cumulative representation of uncertainty》一定的介绍推证，还有最新的《Continuous Cumulative Prospect Theory and Individual Asset Allocation》及其他相关的prospect theory 。

Home Prospect Theory Cumulative Prospect Theory Calculator "Prospect theory, developed in the early 1980s by the psychologists Daniel Kahneman and Amos Tversky, represents an important milestone in this context. Kahneman and Tversky proved in numerous experiments that the day-to-day reality of decision makers varies from the assumptions held by economists." Goldberg and von Nitzsch

"Prospect theory was developed by Kahneman and Tversky (1979). In its original form, it is concerned with behavior of decision makers who face a choice between two alternatives. The definition in the original text is: “Decision making under risk can be viewed as a choice between prospects or gambles." Decisions subject to risk are deemed to signify a choice between alternative actions, which are associated with particular probabilities (prospects) or gambles. The model was later elaborated and modified." Goldberg and von Nitzsch p 62

Prospect theory has probably done more to bring psychology into the heart of economic analysis than any other approach. Many economists still reach for the expected utility theory paradigm when dealing with problems, however, prospect theory has gained much ground in recent years, and now certainly occupies second place on the research agenda for even some mainstream economists. Unlike much psychology, prospect theory has a solid mathematical basis — making it comfortable for economists to play with. However, unlike expected utility theory which concerns itself with how decisions under uncertainty should be made (a prescriptive approach), prospect theory concerns itself with how decisions are actually made (a descrptive approach). Prospect theory was created by two psychologists, Kahneman and Tversky, who wanted to build a parsimonious theory to fit a number of violations of classical rationality that they (and others) had uncovered in empirical work. Prospect theory bears more than a passing resemblance to expected utility theory." Montier (2002) p 20

Short description: "We have an irrational tendency to be less willing to gamble with profits than with losses.." Tvede (1999)

Prospect theory, which was developed by Kahneman and Tversky (1979), is one of the most often quoted and best-documented phenomena in economic psychology. The theory states that we have an irrational tendency to be less willing to gamble with profits than with losses. Tvede (1999)

Prospect theory. We have an irrational tendency to be less willing to gamble with profits than with losses. This means selling quickly when we earn profits but not selling if we are running losses" Tvede (1999) p 169

The main thrust of Tversky and Kahneman's work on judgment -- that people have cognitive capacity limitations and so must simplify some of the complex problems they confront -- is fundamentally inconsistent with at least one widely touted model of human behavior, namely, the rational actor of economic theory. Economists contend that people are highly rational utility maximizers who compute any action's likely effect on their total wealth, and choose accordingly (see ECONOMICS AND COGNITIVE SCIENCE).

Tversky and Kahneman argued that people's choices -- economic or otherwise -- are often a good deal simpler. People typically do not monitor a prospect's likely effect on their final asset position. Rather, they pay attention to whether a given course of action might result in a gain or loss from the status quo (or some other salient reference point), and they are highly sensitive to how choices are presented or "framed." Tversky and Kahneman provided an account of these and other deviations from the standard normative model of Expected UTILITY THEORY in a descriptive theory of decision making known as Prospect Theory.

"In their landmark work on prospect theory, a descriptive framework for the way people make choices in the face of risk and uncertainty..." Shefrin (2000), p 24

"...get-evenitis is central to prospect theory..." Shefrin (2000), p 108

"A theory that incorporates such framing effects has been proposed by Kahneman and Tversky (1979). Termed prospect theory, it has been extraordinarily influential. It is based on the idea that people evaluate gains or losses in prospect theory from some neutral or status quo point, an assumption consistent with the adaptation-level findings that occur not just in perception but in virtually all experience. That is, we adapt to a constant level of virtually any psychological dimension and find it to be neutral. In a similar way, we adapt to the reduced light in a movie theater when we enter it—finding it not particularly dark after a few seconds—and then readapt to the much brighter light outside when we leave the theater—finding it not to be unusually bright after a few seconds. But since choice varies by framing it as a gain or a loss, it cannot reveal underlying preferences." Dawes (2001) p 195

Not very long after expected utility theory was formulated by von Neumann and Morgenstern (1944) questions were raised about its value as a descriptive model (Allais, 1953). Recently Kahneman and Tversky (1979) have proposed an alternative descriptive model of economic behavior that they call prospect theory." Thaler (1980)

"...individuals do not assess risky gambles following the precepts of von Neumann-Morgenstern rationality. Rather, in assessing such gambles, people look not at the levels of final wealth they can attain but at gains and losses relative to some reference point, which may vary from situation to situation, and display loss aversion—a loss function that is steeper than a gain function. Such preferences—first described and modeled by Kahneman and Tversky (1979) in their 'Prospect Theory'—are helpful for thinking about a number of problems in finance. One of them is the notorious reluctance of investors to sell stocks that lose value, which comes out of loss aversion (Odean 1998). Another is investors' aversion to holding stocks more generally, known as the equity premium puzzle (Mehra and Prescott 1985, Benartzi and Thaler 1995)." Shleifer (2000)

"If Richard Thaler's concept of mental accounting is one of two pillars upon which the whole of behavioral economics rests, then prospect theory is the other." Belsky and Gilovich (1999) p 52

"...prospect theory deals with the way we frame decisions, the different ways we label—or code—outcomes, and how they affect our attitude toward risk. Indeed, we might just as easily have constructed this book as one long essay explaining prospect theoy and all of the ideas that flow from it—that's how influential and seminal the ideas discussed in Kahneman and Tversky's paper are." Belsky and Gilovich (1999) p 52

"Prospect theory [...] helps explain how loss aversion, and an inability to ignore sunk costs, leads people to take actions that are not in their best interest. The sting of losing money, for example, often leads investors to pull money out of the stock market unwisely when prices dip." Belsky and Gilovich (1999)

"Prospect theory was developed by Daniel Kahneman and Amos Tversky (1979), and it differs from expected utility theory in a number of important respects. First, it replaces the notion of “utility” with “value.” Whereas utility is usually defined only in terms of net wealth, value is defined in terms of gains and losses (deviations from a reference point). Moreover, the value function for losses is different than the value function for gains. [...] the value function for losses (the curve lying below the horizontal axis) is convex and relatively steep. In contrast, the value function for gains (above the horizontal axis) is concave and not quite so steep. These differences lead to several noteworthy results. Because the value function for losses is steeper than that for gains, losses “loom larger” than gains. For instance, a loss of $500 is felt more than a gain of $500." Plous (1993) p 95-96

"Unlike expected utility theory, prospect theory predicts that preferences will depend on how a problem is framed. If the reference point is defined such that an outcome is viewed as a gain, then the resulting value function will be concave and decision makers will tend to be risk averse. On the other hand, if the reference point is defined such that an outcome is viewed as a loss, then the value function will be convex and decision makers will be risk seeking." Plous (1993) p 97

"Prospect theory also differs from expected utility theory in the way it handles the probabilities attached to particular outcomes. Classical utility theory assumes that decision makers value a 50 percent chance of winning as exactly that: a 50 percent chance of winning. In contrast, prospect theory treats preferences as a function of “decision weights,” and it assumes that these weights do not always correspond to probabilities. Specifically, prospect theory postulates that decision weights tend to overweight small probabilities and underweigt moderate and high probabilities. Plous (1993) p 98

"Prospect theory represents a great improvement over classical expected utility theory. Indeed, many violations of expected utility theory are explicitly predicted by prospect theory." Plous (1993) p 105

"In a nutshell, prospect theory assumes that investors' utility functions depend on changes in the value of their portfolios rather than the value of the portfolio. Put another way, utility comes from returns, not from the value of assets." Cornell (1999)

"The assumption of a diminishing marginal returns utility function relating dollar gains to utilities has been a cliché in economic theorizing and most reseach shows that our evaluations of gains show a negatively accelerating, diminishing returns pattern. In 1979, Daniel Kahneman and Amos Tvversky proposed what they termed prospect theory as a descriptive theory of decision behavior. A basic tenant of this theory is that the law of diminishing returns applies to good and bad quantitative consequences of decisions." Hastie and Dawes (2001) p 216

"An individual views monetary consequences in terms of changes from a reference level, which is usually the individual's status quo. The values of the outcomes for both positive and negative consequences of the choice then have the diminishing returns characteristic. The resulting value function is steeper for losses than for gains. This implies loss aversion; equal-magnitude gains and losses do not have symmetric impacts on the decision. Losses hurt more than gains satisfy; most empirical estimates conclude that losses are about twice as painful as gains are pleasurable. The curve is concave for gains and convex for losses, impying that decision makers will be risk averse when choosing between gains and risk seeking when choosing between losses." Hastie and Dawes (2001) p 216

"The addition of a moveable reference level is the major difference between prospect theory and traditional economic utility theories." Hastie and Dawes (2001) p 216

v(x) = xα if x > 0 v(x) = -λ(-xα) if x > 0 (with a typical α = 0.88 and λ = 2.25)

"This process has three major characteristics:

Reference level dependence: An individual views consequences (monetary or other) in terms of changes from the reference level, which is usually that individual's status quo. Gain and loss satiation: The values of the outcomes for both positive and negative consequences of the choice have the diminishing returns characteristic. The α term in the value function equation captures the marginally decreasing aspect of the function. Empirical studies estimate that α is typically equal to approximately .88 and always less than 1.00. When the exponent α < 1.00, the curve will accelerate negatively (if α = 1.00, the function would be linear; and if α > 1.00, if would accelerate positively). Loss aversion: The resulting value function is steeper for losses than for gains; losing $100 produces more pain than gaining $100 produces pleasure. The coefficient λ indexes the difference in slopes of the positive and negative arms of the value function. A typical estimate of λ is 2.25, indicating that losses are approximately twice as painful and gains are pleasurable. (If λ = 1.00, the gains and losses would have equal slopes; if λ < 1.00, gains would weigh more heavily than losses.)" Hastie and Dawes (2001) p 294 "Prospect theory is the best comprehensive description we can give of the decision process. It summarizes several centuries' worth of findings and insights concerning human decision behavior. Moreover, it has produced an unmatched yield of new insights and predictions of human behavior in decision making." Hastie and Dawes (2001) p 310

Top Papers KAHNEMAN, Daniel and Amos TVERSKY, Prospect Theory: An Analysis of Decision under Risk, 1979. [about 4,140] Abstract: "This paper presents a critique of expected utility theory as a descriptive model of decision making under risk, and develops an alternative model, called prospect theory. Choices among risky prospects exhibit several pervasive effects that are inconsistent with the basic tenets of utility theory. In particular, people underweight outcomes that are merely probable in comparison with outcomes that are obtained with certainty. This tendency, called the certainty effect, contributes to risk aversion in choices involving sure gains and to risk seeking in choices involving sure losses. In addition, people generally discard components that are shared by all prospects under consideration. This tendency, called the isolation effect, leads to inconsistent preferences when the same choice is presented in different forms. An alternative theory of choice is developed, in which value is assigned to gains and losses rather than to final assets and in which probabilities are replaced by decision weights. The value function is normally concave for gains, commonly convex for losses, and is generally steeper for losses than for gains. Decision weights are generally lower than the corresponding probabilities, except in the range of low probabilities. Overweighting of low probabilities may contribute to the attractiveness of both insurance and gambling." TVERSKY, Amos and Daniel KAHNEMAN, Advances in Prospect Theory: Cumulative Representation of Uncertainty, 1992. [about 603] Abstract: "We develop a new version of prospect theory that employs cumulative rather than separable decision weights and extends the theory in several respects. This version, called cumulative prospect theory, applies to uncertain as well as to risky prospects with any number of outcomes, and it allows different weighting functions for gains and for losses. Two principles, diminishing sensitivity and loss aversion, are invoked to explain the characteristic curvature of the value function and the weighting functions. A review of the experimental evidence and the results of a new experiment confirm a distinctive fourfold pattern of risk: risk aversion for gains and risk seeking for losses of high probability; risk seeking for gains and risk aversion for losses of low probability." BARBERIS, Nicholas, Ming HUANG and Tano SANTOS, Prospect Theory and Asset Prices, 2001. [about 572] Abstract: "We study asset prices in an economy where investors derive direct utility not only from consumption but also from fluctuations in the value of their financial wealth. They are loss averse over these fluctuations, and the degree of loss aversion depends on their prior investment performance. We find that our framework can help explain the high mean, excess volatility, and predictability of stock returns, as well as their low correlation with consumption growth. The design of our model is influenced by prospect theory and by experimental evidence on how prior outcomes affect risky choice." CAMPBELL, John Y., Asset Pricing at the Millennium, 2000. [about 367] AÏT-SAHALIA, Yacine and Michael W. BRANDT, Variable Selection for Portfolio Choice, 2001. [about 225] QUATTRONE, George A. and Amos TVERSKY, Contrasting Rational and Psychological Analyses of Political Choice [about 154] CAMERER, Colin, Prospect theory in the wild: Evidence from the field, 1998. [about 118] Abstract: "The workhorses o f economic analysis are simple formal models which can explain naturally-occurring phenomena. Reflecting this taste, economists often say they will incorporate more psychological ideas into economics if those ideas can parsimoniously account for field data better than standard theories do. Taking this statement seriously, this paper describes ten regularities in naturally-occurring data which are anomalies fo r expected ut ility theory, but can all be explained by three simple elements of prospect theory-- loss-aversion, reflect ion effects, and nonlinear weighting of probability-- along with the assumption that people isolate decisions (or edit them) from others they might be grouped with (Read, Loewenstein, and Rabin, 1998; cf. Thaler, this volume). I hope to show how much success has already been had applying prospect theory to field data, and to inspire economists and psychologists to spend more time in the wild. The 10 patterns are summarized in Table 1. To keep the paper brief, I sketch expected utility and prospect theory very quickly. (Readers who want to know more should look elsewhere in this volume or in Camerer, 1995, o r Rabin, 1998a). In expected ut ility, gambles which yield risky outcomes xi with probabilities pi are valued according to " piu(xi) where u(x) is the utility  of outcome x. In prospect theory they are valued by "  (pi)v(xi-r), where (p) is a function which weights probabilities nonlinearly, overweighting probabilities below .3 or so and underweighting larger probabilities.1 The value function v(x-r) exhibits diminishing marginal sensitivity to deviations from the reference point r, creating a  reflection effect  because v(x-r) is convex for losses and concave for gains (i.e., v  (x-r)>0 for xr). The value function also exhibits loss-aversion -- the value of a loss -x is larger in magnitude than the value of an equal-sized gain (i.e., -v(-x)>v(x) for x>0)." SHILLER, Robert J., Human Behavior and the Efficiency of the Financial System, 1998. [about 227] "Recent literature in empirical finance is surveyed in its relation to underlying behavioral principles, principles which come primarily from psychology, sociology and anthropology. The behavioral principles discussed are: prospect theory,..." LEVY, Haim, Enrico De GIORGI and Thorsten HENS, Prospect Theory and the CAPM: A contradiction or coexistence? [about 99] "Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds. However, under the speci¯c functional form suggested by Tversky and Kahneman (1992) financial market equilibria do not exist. We suggest an alternative functional form that is consistent with both, the experimental results of Tversky and Kahneman and also with the existence of equilibria." Bibliography AÏT-SAHALIA, Yacine and Michael W. BRANDT, Variable Selection for Portfolio Choice [about 225] BARBERIS, Nicholas, Ming HUANG and Tano SANTOS, Prospect Theory and Asset Prices [about 572] BLAVATSKYY, Pavlo R., Prospect and Cumulative Prospect Theory [about 2] BLEICHRODT, Han, Jose Luis PINTO and Peter P. WAKKER, Making Descriptive Use of Prospect Theory to Improve the Prescriptive Use of Expected Utility [about 55] BURGOS, Albert, Guessing and gambling [about 27] BURNESS, Jill and William NEILSON, A Further Examination of Cumulative Prospect Theory Parameterizations [about 5] CAMERER, Colin, Prospect theory in the wild: Evidence from the field [about 118] CAMPBELL, John Y., Asset Pricing at the Millennium [about 367] Colorado, Prospect Theory Equation De GIORGI, Enrico, Thorsten HENS and Haim LEVY, Existence of CAPM Equilibria with Prospect Theory Preferences [about 8] DHAMI, Sanjit and Ali al-NOWAIHI, Why Do People Pay Taxes? Prospect Theory Versus Expected Utility Theory [about 3] EDWARDS, Kimberley D., Prospect Theory: A Literature Review [about 14] GRABISCH, Michel and Christophe LABREUCHE, Bi-capacities: towards a generalization of Cumulative Prospect Theory [1] GROOT, J.S. de and T. K. DIJKSTRA, Writing covered calls : should it be done? [about 17] HARBAUGH, Rick and Tatiana KORNIENKO, Local status and prospect theory [about 72] KAHNEMAN, Daniel and Amos TVERSKY, Prospect Theory: An Analysis of Decision under Risk [about 4,140] LANGER, Thomas and Martin WEBER, Myopic Prospect Theory Vs. Myopic Loss Aversion: How General Is The Phenomenon? [about 7] LAURY, Susan K. and Charles A. HOLT, Further Reflections on Prospect Theory [about 31] LEVY, Haim, Enrico De GIORGI and Thorsten HENS, Prospect Theory and the CAPM: A contradiction or coexistence? [about 99] LOPES, Lola L. and Gregg C. ODEN, The Role Of Aspiration Level In Risky Choice: A Comparison of Cumulative Prospect Theory and SP/A Theory, Journal of Mathematical Psychology, 43, 286-313. 1999. MALTER, Daniel, Prospect Theory, Cumulative Prospect Theory, and Implications [1] MYAGKOV, Mikhail and Charles R. PLOTT, Exchange Economies and Loss Exposure: Experiments Exploring Prospect Theory and Competitive Equilibria in Market Environments [about 62] NEILSON, William S. and Jill STOWE, A Further Examination of Cumulative Prospect Theory Parameterizations [about 28] QUATTRONE, George A. and Amos TVERSKY, Contrasting Rational and Psychological Analyses of Political Choice [about 154] SAWICKA, Agata, Compliance as choice under risk: Investigating cumulative prospect theory in a risky work environment [about 5] SCHMIDT, Ulrich and Horst ZANK, Risk Aversion in Cumulative Prospect Theory [about 56] SCHMIDT, Ulrich and Horst ZANK, An Axiomatization of Linear Cumulative Prospect Theory with Applications to Portfolio Selection and Insurance Demand [about 34] SHILLER, Robert J., Human Behavior and the Efficiency of the Financial System [about 227] TVERSKY, Amos and Daniel KAHNEMAN, Advances in Prospect Theory: Cumulative Representation of Uncertainty [about 603] Van ASSEN, M.A.L.M., Effects of Individual Decision Theory Assumptions on Predictions of Cooperation in Social Dilemmas [about 17] ZANK, Horst, Cumulative Prospect Theory for Parametric and Multiattribute Utilities [about 48]

见到这个网站太兴奋啦！！！这么多同志们在共同努力学习！同时也非常感谢版主！大家一起努力一起进步吧！

不知道有谁有老卡86年的一篇文章——rational choice and framing of decisions, 1986年发表在 journal of business 我找了半天都找不到全文，哪位GGJJMMDD帮帮忙，多谢啦！！！

Prospect Theory 和非预期效用理论有联系吗？

呵呵，趁你们讨论正酣，偶把资料全部收集。闪人了现在…

简单的说，这两者是种属关系，在具体一点，就是一堆水果里最好吃的那一种水果。

呵呵，第一次来这儿！

老卡的关于展望理论的文章有中文的么？

这方面的文章有没有一个汇总啊？

下来看看，还没看过这方面的咚咚聂

study for a life.