more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint … discrete time constant relative risk aversion and joint normally distributed asset return assessments are sufficient to yield …

explanation for this puzzle is based on prospect theory. Despite its prominence, this explanation has received little formal … scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that …, at least for the simplest implementation of prospect theory, the link between these preferences and the disposition …

for reasons unrelated to risk. They also lead to a rich pattern of own- and cross-autocorrelations, sample premia that can …

it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also …

utility" theory of investor behavior, which posits that people derive utility directly from the act of realizing gains and …