Many asset pricing models consider ‘disagreement’ (heterogeneous expectations), while a variety of other asset pricing models focus on ‘tastes’ (preferences beyond risk aversion); yet relatively few asset pricing models simultaneously consider both. The Popularity Asset Pricing Model...

The authors modeled the non-normal returns of multiple asset classes by using a multivariate truncated Lévy flight distribution and incorporating non-normal returns into the mean-conditional value at risk (M-CVaR) optimization framework. In a series of controlled optimizations, they found that...

Key theories of financial economics seem to be at odds with one another and with observed personalized portfolios. The Popularity Asset Pricing Model serves as a unifying theory by allowing for both rational and irrational investors, individual risk and return expectations, a multitude of...