We use the portfolio selection model presented in He and Zhou [<italic>Manage. Sci.</italic>, 2011, <bold>57</bold>, 315-331] and the NYSE equity and US treasury bond returns for the period 1926-1990 to revisit Benartzi and Thaler's myopic loss aversion theory. Through an extensive empirical study, we find that in addition...

This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient \`{a} la Markowitz. It is shown that,...

A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In literature the latter is solved by assuming {\it a priori} that...

We formulate and carry out an analytical treatment of a single-period portfolio choice model featuring a reference point in wealth, S-shaped utility (value) functions with loss aversion, and probability weighting under Kahneman and Tversky's cumulative prospect theory (CPT). We introduce a new...

This paper provides a new portfolio selection rule. The objective is to minimize the maximum individual risk and we use an l_\infty function as the risk measure. We provide an explicit analytical solution for the model and are thus able to plot the entire efficient frontier. Our selection rule...