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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - On the potential for observational equivalence in experiments on risky choice when a power utility function is assumed
AU - Peel, David
AU - Zhang, Jie
PY - 2012/7
Y1 - 2012/7
N2 - We demonstrate theoretically and illustrate the implications of assuming power utility when the true function is of the expo-power form. Empirical results can appear to be consistent with cumulative prospect theory when they are in fact generated from a Markowitz model.
AB - We demonstrate theoretically and illustrate the implications of assuming power utility when the true function is of the expo-power form. Empirical results can appear to be consistent with cumulative prospect theory when they are in fact generated from a Markowitz model.
KW - Cumulative prospect theory
U2 - 10.1016/j.econlet.2011.12.116
DO - 10.1016/j.econlet.2011.12.116
M3 - Journal article
VL - 116
SP - 8
EP - 10
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 1
ER -