The paper rst shows that nancial market equilibria need not to exist if agents possesscumulative prospect theory preferences with piecewise-power value functions. This is due tothe boundary behavior of the cumulative prospect theory value function, which might causean innite short-selling...

We present and compare two different approaches to conditional risk measures. One approach draws from convex analysis in vector spaces and presents risk measures as functions on Lp spaces, while the other approach utilizes module-based convex analysis where conditional risk measures are defined...