With probability weighting, the weighting function $\pi(p)$ is convex below some threshold $\bar{p}$ and concave above some threshold $\bar{p}$.

Question

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Probability weighting functions in prospect theory are typically concave for low probabilities (overweighting small probabilities) and convex for high probabilities (underweighting high probabilities), with a switch at some threshold, reflecting how people disproportionately perceive the likelihood of events.

With Probability Weighting, the Weighting Function π(p)\pi(p)π(p) Is Convex Below Some Threshold

With Probability Weighting, the Weighting Function $\pi(p)$ Is Convex Below Some Threshold