Dierkes, Maik; Erner, Carsten; Zeisberger, Stefan - In: Journal of Banking & Finance 34 (2010) 5, pp. 1032-1046
We analyze the attractiveness of investment strategies over a variety of investment horizons from the viewpoint of an investor with preferences described by Cumulative Prospect Theory (CPT), currently the most prominent descriptive theory for decision making under uncertainty. A bootstrap...