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Making Prospect Theory Fit for Finance
De Giorgi, Enrico - 2006
The prospect theory of Kahneman and Tversky (in Econometrica 47(2), 263-291, 1979) and the cumulative prospect theory … summarize several violations of the expected utility theory. This paper gives a survey of applications of prospect theory to the … portfolio choice problem and the implications for asset pricing. We demonstrate that prospect theory (and similarly cumulative …
Persistent link: https://www.econbiz.de/10012779395
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Markets Do Not Select for a Liquidity Preference as Behavior Towards Risk
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2003
Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account the evolution of wealth of cash holders versus non cash holders. Cash...
Persistent link: https://www.econbiz.de/10014032025
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How persistent are the effects of experience sampling on investor behavior?
Bradbury, Meike; Hens, Thorsten; Zeisberger, Stefan - 2018
Investor behavior was shown to be considerably different when the risk-return tradeoff is presented by experience sampling as opposed to a descriptive communication. We analyze the persistency of this difference in a setting in which investors are faced with multiple decisions over time and are...
Persistent link: https://www.econbiz.de/10011870656
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Which measures predict risk taking in a multi-stage controlled decision process?
Bachmann, Kremena; Hens, Thorsten; Stössel, Remo - 2017
We assess the ability of different risk profiling measures to predict risk taking along a multi-stage decision process. The latter involves decisions under ambiguity, decisions under risk, decisions after gaining experience and decisions after receiving outcome information on previous decisions....
Persistent link: https://www.econbiz.de/10011874728
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Improving Investment Decisions with Simulated Experience
Bradbury, Meike - 2014
We apply a new and innovative approach to communicating risks associated with financial products that should support investors in making better investment decisions. In our experiments, participants are able to gain “simulated experience” by random sampling of a previously described return...
Persistent link: https://www.econbiz.de/10013065022
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Sustainable investing in imperfect markets
Hens, Thorsten; Trutwin, Ester - 2023
Persistent link: https://www.econbiz.de/10014482868
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Financial Market Equilibria With Cumulative Prospect Therory
De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007
The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory preferences …
Persistent link: https://www.econbiz.de/10005857777
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Optimal Product Design : A CAPM approach
Rieger, Marc Oliver; Wang, Mei; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2006
results for the cases of expected utility and cumulative prospect theory. …
Persistent link: https://www.econbiz.de/10005858026
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Survival of the Fittest on Wall Street
Hens, Thorsten; Schenk–Hoppe, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones … market wealth in competition with fix-mix portfolio rules derived from mean-variance optimization, maximum growth theory and …
Persistent link: https://www.econbiz.de/10005858308
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Making Prospect Theory Fit for Finance
De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The prospect theory of Kahneman and Tversky (1979) and the cumulative prospect theory of Tversky and Kahneman (1992 …) are descriptive models for decision making that summarize several violations of the expected utility theory. This paper … gives a survey of applications of prospect theory to the portfolio choice problem and the implications for asset pricing. We …
Persistent link: https://www.econbiz.de/10005858528