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Ambiguity and nonparticipation : the role of regulation

Easley, David; O'Hara, Maureen - In: The review of financial studies 22 (2009) 5, pp. 1817-1843

Persistent link: https://www.econbiz.de/10003886028

Portfolio choice with loss aversion, asymmetric risk-taking behavior and segregation of riskless opportunities

Vlcek, Martin - 2006

Persistent link: https://www.econbiz.de/10003426022

Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures

Dana, Rose-Anne; Le Van, Cuong - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 327-339

Persistent link: https://www.econbiz.de/10008665093

Portfolio choice with loss aversion, asymmetric risk-taking behavior and segregation of riskless opportunities

Vlcek, Martin (contributor) - 2006

In this paper we present a two period model, where the agent's preferences are described by prospect theory as proposed by Kahneman and Tversky. We solve for the agent's portfolio decision. Our findings are that the changes in portfolio weights depend crucially on the reference point and the...