Giorgi, Enrico; Hens, Thorsten; Mayer, János - In: Computational Economics 29 (2007) 3, pp. 267-281
) prospect theory. An application to benchmark data as in Fama and French (Journal of Financial Economics, 47(2), 427–465, 1992 … of Finance, 47(2), 427–465, 1992). However, the optimal prospect theory portfolios found on this larger set of assets …