In this paper, we describe three different experiments that explore participants’ risk attitude. When we analyzed the average results, we found that participants behave as the S-shape value function predicts. However, breaking the data down on the individual level reveals that the S-shape is...

In a given period, a diversified fund, by virtue of being a weighted average, will perform somewhere in the middle range of its components' respective performances. This means that adaptive investors who look to the past to adjust expectations about future returns will shun diversified funds....