Risk Aversion in Cumulative Prospect Theory
刻画了累积前景理论中强风险厌恶与二阶随机占优的条件，发现强风险厌恶意味着收益的权重函数凸、损失的权重函数凹，但不一定要求效用函数凹，并推导出损失厌恶的自然指数。
This paper characterizes the conditions for strong risk aversion and second-order stochastic dominance for cumulative prospect theory. Strong risk aversion implies a convex weighting function for gains and a concave one for losses. It does not necessarily imply a concave utility function. The latter does follow if the weighting functions are continuous. By investigating the exact relationship between loss aversion and strong risk aversion, a natural index for the degree of loss aversion is derived.