Prospect theory: A parametric analysis of functional forms in Brazil
This study aims to analyze risk preferences in Brazil based on prospect theory by estimating the risk aversion parameter of the expected utility theory (EUT) for a select sample, in addition to the value and probability function parameter, assuming various functional forms, and a newly proposed valu...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Fundação Getulio Vargas, Escola de Administração de Empresas de São Paulo
2017-10-01
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| Series: | RAE: Revista de Administração de Empresas |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/71818/69597 |
| _version_ | 1827161488602693632 |
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| author | Robert Eugene Lobel Marcelo Cabus Klotzle Paulo Vitor Jordão da Gama Silva Antonio Carlos Figueiredo Pinto |
| author_facet | Robert Eugene Lobel Marcelo Cabus Klotzle Paulo Vitor Jordão da Gama Silva Antonio Carlos Figueiredo Pinto |
| author_sort | Robert Eugene Lobel |
| collection | DOAJ |
| description | This study aims to analyze risk preferences in Brazil based on prospect theory by estimating the risk aversion parameter of the expected utility theory (EUT) for a select sample, in addition to the value and probability function parameter, assuming various functional forms, and a newly proposed value function, the modified log. This is the first such study in Brazil, and the parameter results are slightly different from studies in other countries, indicating that subjects are more risk averse and exhibit a smaller loss aversion. Probability distortion is the only common factor. As expected, the study finds that behavioral models are superior to EUT, and models based on prospect theory, the TK and Prelec weighting function, and the value power function show superior performance to others. Finally, the modified log function
proposed in the study fits the data well, and can thus be used for future studies in Brazil. |
| first_indexed | 2024-03-12T04:32:18Z |
| format | Article |
| id | doaj.art-e6ac66ca93be472e9abfcb65684c08a9 |
| institution | Directory Open Access Journal |
| issn | 0034-7590 2178-938X |
| language | English |
| last_indexed | 2025-03-21T00:29:43Z |
| publishDate | 2017-10-01 |
| publisher | Fundação Getulio Vargas, Escola de Administração de Empresas de São Paulo |
| record_format | Article |
| series | RAE: Revista de Administração de Empresas |
| spelling | doaj.art-e6ac66ca93be472e9abfcb65684c08a92024-08-03T07:09:00ZengFundação Getulio Vargas, Escola de Administração de Empresas de São PauloRAE: Revista de Administração de Empresas0034-75902178-938X2017-10-01575495509Prospect theory: A parametric analysis of functional forms in BrazilRobert Eugene Lobel 0Marcelo Cabus Klotzle1Paulo Vitor Jordão da Gama Silva2Antonio Carlos Figueiredo Pinto3Master in Computer Science from Pontifícia Universidade Católica do Rio de Janeiro – Rio de Janeiro – RJ, BrazilProfessor at Pontifícia Universidade Católica do Rio de Janeiro, Centro de Ciências Sociais – Rio de Janeiro – RJ, BrazilPhD Student in Business Administration from Pontifícia Universidade Católica do Rio de Janeiro – Rio de Janeiro – RJ, BrazilProfessor at Pontifícia Universidade Católica do Rio de Janeiro, Instituto de Administração e Gerencia – Rio de Janeiro – RJ, BrazilThis study aims to analyze risk preferences in Brazil based on prospect theory by estimating the risk aversion parameter of the expected utility theory (EUT) for a select sample, in addition to the value and probability function parameter, assuming various functional forms, and a newly proposed value function, the modified log. This is the first such study in Brazil, and the parameter results are slightly different from studies in other countries, indicating that subjects are more risk averse and exhibit a smaller loss aversion. Probability distortion is the only common factor. As expected, the study finds that behavioral models are superior to EUT, and models based on prospect theory, the TK and Prelec weighting function, and the value power function show superior performance to others. Finally, the modified log function proposed in the study fits the data well, and can thus be used for future studies in Brazil.http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/71818/69597Behavioral financeprospect theoryvalue functionweighting functionBrazil |
| spellingShingle | Robert Eugene Lobel Marcelo Cabus Klotzle Paulo Vitor Jordão da Gama Silva Antonio Carlos Figueiredo Pinto Prospect theory: A parametric analysis of functional forms in Brazil RAE: Revista de Administração de Empresas Behavioral finance prospect theory value function weighting function Brazil |
| title | Prospect theory: A parametric analysis of functional forms in Brazil |
| title_full | Prospect theory: A parametric analysis of functional forms in Brazil |
| title_fullStr | Prospect theory: A parametric analysis of functional forms in Brazil |
| title_full_unstemmed | Prospect theory: A parametric analysis of functional forms in Brazil |
| title_short | Prospect theory: A parametric analysis of functional forms in Brazil |
| title_sort | prospect theory a parametric analysis of functional forms in brazil |
| topic | Behavioral finance prospect theory value function weighting function Brazil |
| url | http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/71818/69597 |
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