We derive the conditions for the optimal portfolio choice within a constant relative risk aversion type of utility function considering alternative probability distributions that are able to capture the asymmetric and leptokurtic features of asset returns. We illustrate the role — beyond risk...

This paper examines the higher order risk preferences of prudence and temperance for the Koszegi-Rabin (KR) expectations-based reference dependent model. Our analyses reveal that higher order risk attitudes exhibited by a KR decision maker in experimental research depend on whether risks are...

This paper examines the predictions of expectations-based reference-dependent models for risk-apportionment tasks that elicit higher-order risk attitudes. We consider some of the most commonly used specifications of Kőszegi and Rabin (2006, 2007) and disappointment aversion models. Our analysis...

This paper examines the predictions of expectations-based reference-dependent models for risk-apportionment tasks that elicit higher-order risk attitudes. We consider some of the most commonly used specifications of Kőszegi and Rabin (2006, 2007) and disappointment aversion models. Our analysis...