Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment

References

• Abdellaoui M. Parameter-free elicitation of utility and probability weighting functions. Management Sci. (2000) 46(11):1497–1512Link, Google Scholar
• Barberis N., Huang M. Stocks as lotteries: The implications of probability weighting for security prices. Amer. Econom. Rev. (2008) 98(5):2066–2100Crossref, Google Scholar
• Benartzi S., Thaler R. H. Myopic loss aversion and the equity premium puzzle. Quart. J. Econom. (1995) 110(1):73–92Crossref, Google Scholar
• Berkelaar A., Kouwenberg R., Post T. Optimal portfolio choice under loss aversion. Rev. Econom. Statist. (2004) 86(4):973–987Crossref, Google Scholar
• Bernard C., Ghossoub M. Static portfolio choice under cumulative prospect theory. Math. Financial Econom. (2010) 2(4):277–306Crossref, Google Scholar
• Bernardo A. E., Ledoit O. Gain, loss and asset pricing. J. Political Econom. (2000) 108(1):144–172Crossref, Google Scholar
• De Giorgi E., Hens T., Levy H. Existence of CAPM equilibria with prospect theory preferences. (2004) . Working paper, University of St. Gallen, St. Gallen, Switzerland. http://ssrn.com/abstract=420184Google Scholar
• Denneberg D.Non-Additive Measure and Integral (1994) (Kluwer Academic, Dordrecht, The Netherlands) Crossref, Google Scholar
• Gomes F. J. Portfolio choice and trading volume with loss-averse investors. J. Bus. (2005) 78(2):675–706Crossref, Google Scholar
• Jin H., Zhou X. Y. Behavioral portfolio selection in continuous time. Math. Finance (2008) 18(3):385–426Crossref, Google Scholar
• Kahneman D., Tversky A. Prospect theory: An analysis of decision under risk. Econometrica (1979) 47(2):263–291Crossref, Google Scholar
• Keating C., Shadwick W. F. A universal performance measure. J. Performance Measurement (2002) 6(3):59–84Google Scholar
• Köbberling V., Wakker P. P. An index of loss aversion. J. Econom. Theory (2005) 122(1):119–131Crossref, Google Scholar
• Levy H., Levy M. Prospect theory and mean-variance analysis. Rev. Financial Stud. (2004) 17(4):1015–1041Crossref, Google Scholar
• Mankiw N. G., Zeldes S. P. The consumption of stockholders and nonstockholders. J. Financial Econom. (1991) 29(1):94–112Crossref, Google Scholar
• Markowitz H. The utility of wealth. J. Political Econom. (1952) 60(2):151–158Crossref, Google Scholar
• Prelec D. The probability weighting function. Econometrica (1998) 66(3):497–527Crossref, Google Scholar
• Rieger M. O. Too risk averse for prospect theory? (2007) . Working paper, University of Zurich, ZurichGoogle Scholar
• Rieger M. O., Wang M. Cumulative prospect theory and the St. Petersburg paradox. Econom. Theory (2006) 28(3):665–679Crossref, Google Scholar
• Tversky A., Fox C. R. Weighing risk and uncertainty. Psych. Rev. (1995) 102(2):269–283Crossref, Google Scholar
• Tversky A., Kahneman D. Advances in prospect theory: Cumulative representation of uncertainty. J. Risk Uncertainty (1992) 5(4):297–323Crossref, Google Scholar
• Wu G., Gonzalez R. Curvature of the probability weighting function. Management Sci. (1996) 42(12):1676–1690Link, Google Scholar