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Articles Articles Multi Cumulative Prospect Theory and the Demand for Cliquet-Style Guarantees - Rub, Jochen

Collection: Articles

Title: Multi Cumulative Prospect Theory and the Demand for Cliquet-Style Guarantees / Jochen Rub, Stefan Schelling

Author: Rub, Jochen Icono con lupa

Notes: Sumario: Expected Utility Theory (EUT) and Cumulative Prospect Theory (CPT) face problems explaining preferences of long-term investors. Previous research motivates that the subjective utility of a long-term investment also depends on interim value changes. Therefore, we propose an approach that we call Multi Cumulative Prospect Theory. It is based on CPT and considers annual changes in the contract values. As a first application, we can show that in contrast to EUT and CPT, this approach is able to explain the demand for guaranteed products with lock-in features, which in this framework generate a higher subjective utility than products without or with simpler guarantees

Other authors: Schelling, Stefan Icono con lupa

Other categories: 921.9

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

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