Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit … the derivation of risk-value efficient frontiers. A behaviorally based risk measure with an endogenous or exogenous … benchmark is used to derive efficient portfolios and to analyse the implied equilibrium asset pricing. In risk-value models a …

performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize … managers to achieve better returns, but they could also result in excessive risk taking. While we find evidence that these … Prospect Theory preferences can help explain the emergence of certain financial products beyond other "classical" explanations …

We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to … portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem … modelling herding risk which merit empirical analysis. This financial economists' perspective supplements the vast statistical …