In the classical theory of monotone equimeasurable rearrangements of functions, “equimeasurability” (i.e. the fact the two functions have the same distribution) is defined relative to a given additive probability measure. These rearrangement tools have been successfully used in many problems...

In the classical Arrow-Borch-Raviv problem of demand for insurance contracts, it is well-known that the optimal insurance contract for an insurance buyer – or decision maker (DM) – is a deductible contract, when the insurer is a risk-neutral Expected-Utility (EU) maximizer, and when the DM...

We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory. The study is done in a one-period economy with one risk-free asset and one risky asset, and the reference point corresponds to the terminal wealth arising when the entire initial wealth is...

This paper is a supplement to Ghossoub [11]. In this supplement, some of the results of Ghossoub [11], as well as the techniques used to obtain these result are extended to a more general problem of demand for contingent claims with belief heterogeneity. Moreover, a general problem of monotone...

This paper suggests a behavioral, preference-based definition of loss aversion for decision under risk. This definition is based on the initial intuition of Markowitz [30] and Kahneman and Tversky [19] that most individuals dislike symmetric bets, and that the aversion to such bets increases...