. A standard explanation of the disposition effect refers to prospect theory and in particular to the asymmetric risk … aversion according to which investors are risk averse when faced with gains and risk-seeking when faced with losses. We show … that for reasonable parameter values the disposition effect can however not be explained by the prospect theory as proposed …

rebalancing, prospect theory with a fixed reference point, or the justification hypothesis explain the disposition effect. …

explained by an individual’s perception of the risk that is involved whenever an outcome is to be received in the future. This … risk may concern the size of the actual outcome or the endowment consumption stream to which the outcome is added. Both … experiments. We show how relative degrees of changes in risk over time can predict choices. …

The prospect theory of Kahneman and Tversky (1979) and the cumulative prospect theory of Tversky and Kahneman (1992 …) are descriptive models for decision making that summarize several violations of the expected utility theory. This paper … gives a survey of applications of prospect theory to the portfolio choice problem and the implications for asset pricing. We …

We argue that the equity premium puzzle stems from a mismatch of applying mental accounting to experiments on risk … consistently in both areas the degrees of risk aversions obtained coincide and the equity premium puzzle is gone. …

The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory preferences …

investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This …The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on … paper analyzes the behavior of insurance companies in an evolutionary framework. We show that an insurance company that …

This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones … market wealth in competition with fix-mix portfolio rules derived from mean-variance optimization, maximum growth theory and …