Giorgi, Enrico; Hens, Thorsten; Mayer, János - In: Computational Economics 29 (2007) 3, pp. 267-281
We develop an algorithm to compute asset allocations for Kahneman and Tversky’s (Econometrica, 47(2), 263–291, 1979) prospect theory. An application to benchmark data as in Fama and French (Journal of Financial Economics, 47(2), 427–465, 1992) shows that the equity premium puzzle is...
