Abstract: Prospect Theory is an important theory for decision making under uncertainty. Since its first appearance, it has been revised and improved in many ways. This paper reviews the development of Prospect Theory on its four key issues: the editing process, the value function, the probability weighting function, and risk attitude assessment. Based on past findings, we suggest two revisions to Prospect Theory. The revised theory allows the assimilation of small gains and losses in the value function and frames gains and losses as percentage gains and losses instead of absolute levels of gain and loss. Existing applications of Prospect Theory in marketing are discussed at the end of the paper. Several under-explored areas in marketing are presented, and possible applications are suggested.