| Abstract | since the expected utility maximization principle was challenged by Allais paradox and Ellsberg paradox, economists has tried to develop some new decision rules to resolve the paradoxes raised Allais and Ellsberg. As a result, two different theoretical branches were independently created by behavior economists and mathematicians. One is prospect theory that is developed by revising linear expected utility theory using the discoveries of psychological experimental observation under uncertainty. The other is sublinear expectation theory, which is developed by revising linear expected utility theory in the framework of rationality. This paper takes discoveries of prospect theory as prerequisite and takes coherent risk measure into consideration of decision rule, tries to build a unified framework of prospect theory and sublinear expectation, and the relationship between value function and distribution function. In the framework, we can find a new asset pricing model and give asset price a new explanation. |