risk premiums are observed in countries where survey participants tend to be more short-term oriented. This finding is …

model is compared with actual behavior in a laboratory experiment. The experiment gives support to the theoretical approach. …

solution of our model is compared with actual behavior in a laboratory experiment. It turns out that the experiment gives …

standard explanation of the disposition effect refers to prospect theory and in particular to the asymmetric risk aversion … according to which investors are risk averse when faced with gains and risk-seeking when faced with losses. We show that for … invested in stocks. That is to say the standard prospect theory argument is sound ex-post, assuming that the investment has …

In this paper we suggest a behavioral foundation for the reward-risk approach to portfolio selection based on prospect … theory. We identify sufficient conditions for two-fund separation in reward-risk models in general, and for the behavioral … reward-risk model in particular. It is shown that a prospect theory investor with piecewise-power function satisfies two …

investment. Finally, we argue that the standard CAPM with homogenous beliefs can be seen as the long run outcome of our model …

-mix investment strategies (portfolio rules), distributing their wealth between assets in fixed proportions. Our main goal is to …

consistently with respect to risk adjusted returns over the almost two decades we analyze …