Laboratory experiments with and without real money repeatedly reveal that even if all subjects observe the same pair of cumulative distributions F and G, they act as if they were other cumulative probability functions F* and G* different for different investors. Namely, the subjects assign (subjective) weights to the various probabilities. In their breakthrough article Kahneman and Tversky [1979] suggest that in making decisions under uncertainty, the subjects apply a monotonic transformation π(p) where p are the probabilities, and investors make decisions by comparing π(p) corresponding to the two distributions under consideration rather than by comparing the true probabilities, p, themselves.