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

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and …, we perform simulations leading to the conclusion that, under classical estimation, model risk bias dominates estimation … risk bias. Finally, we suggest a diagnostic tool to warnthe analyst of the presence of extreme returns that have an …

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

investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This …

estimates are consistent with blas´ behavior and counter-cyclical risk aversion. …

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 …

filter arising in Filtering Theory. We study the case where the model is misspecified and where the observations can only be …