Construction of probability metrics on classes of investors

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

Research output: Contribution to journalArticle

2 Scopus citations

Abstract

We introduce functionals with metric properties defined on classes of investors allowing inference about relations between prospects. In this context, we introduce the class of investors with balanced views. Our approach is consistent with Cumulative Prospect Theory.

Original languageEnglish
Pages (from-to)45-48
Number of pages4
JournalEconomics Letters
Volume103
Issue number1
DOIs
StatePublished - Apr 2009

Keywords

  • Cumulative prospect theory
  • Probability metrics

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