  The purpose of this paper is to utilize statistical methodologies to infer
from market prices of assets and their derivatives the magnitude of the set of
a measure M that defines acceptance sets of risky future cash flows.
Specifically, we estimate upper and lower boundaries of the compensation needed
for a given bilateral gamma distributed future cash flow to be acceptable. We
show that prospects theory provides a natural interpretation of the behaviors
implied by such boundaries, which are not compatible with expected utility
theory over terminal wealth. Boundaries for bilateral gamma risk neutral scale
parameters for given speed parameters are also estimated and tested against
market data and, in particular, comparisons are made with known empirical facts
about the magnitude of the acceptance set of a common class of risk measures.
