Scale Invariance of Principle of Equivalent Utility under Cumulative Prospect Theory

Positive Homogeneity of the Principle of Equivalent Utility

“…Conversely, if (7) holds and u is of the form (8) with some α > 0, then, for every w ≥ 0, the premium H w is positively homogeneous on L ∞ (Ω , Σ , P ). These results have been generalized by Chudziak et al [3], who proved that if…”