In a classroom choice experiment with mixed gambles and moderate probabilities, we find severe violations of cumulative prospect theory (CPT) and of Markowitz stochastic dominance. Our results shed new light on the exchange between Levy and Levy (2002) and Wakker (2003) in this journal.

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Keywords choice (psychology), correlation (statistics), game theory, management research, management science, mathematical statistics, probabilities, prospect theory, stochastic analysis
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Series ERIM Top-Core Articles
Journal Management Science
Baltussen, G, Post, G.T, & van Vliet, P. (2006). Violations of Cumulative Prospect Theory in Mixed Gambles with Moderate Probabilities. Management Science, 52(8), 1288–1290. doi:10.1287/mnsc.1050.0544