Prospect Theory and the CAPM - a contradiction or coexistence?

Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds....

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Year of publication:	2003-06-23
Authors:	Levy, Haim ; De Giorgi, Enrico ; Hens, Thorsten
Publisher:	Institut für Empirische Wirtschaftsforschung <Zürich>
Subject:	Capital-Asset-Pricing-Modell \| Kapitalmarkttheorie

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Extent:	620544 bytes 28 p. application/pdf
Series:	Universität Zürich - Institut für empirische Wirtschaftsforschung - Publikationen Working Paper Series ;157 ( 2003)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C62 - Existence and Stability Conditions of Equilibrium ; D51 - Exchange and Production Economies ; D52 - Incomplete Markets ; G11 - Portfolio Choice ; G12 - Asset Pricing ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846387