In many traditional financial and economic models, economic agents are assumed to make decisions using expected lifetime utility under rational expectations, where rational expectations are assumed to be formed on the basis of sufficient knowledge of the data generating process. But the mere...

The CAPM is one of the basic models in finance, combining one-period ahead exogenously given (rational) expectations and mean-variance preferences. This combination results in implications that are heavily criticized, both empirically and theoretically, resulting in a rejection of mean-variance...

The traditional finance approach combines the rational expectations hypothesis with the assumption of no arbitrage. However, the numerous anomalies reported in the finance literature reject this approach. The behavioral finance approach takes rational expectations as the maintained hypothesis...

This paper introduces a simulation model extending the well known Capital Asset Pricing Model by Sharpe and Lintner. Investors are modeled as multi-period forward looking portfolio optimizers. However, the future is not known \emph{a priori}, but has to be modeled and estimated. We allow agents...

This paper studies how to compare different microscopic simulation (MS) models and how to compare a MS model with real world. The parameters of interest are classified and characterized, various econometric methods are applied for the comparison. We illustrate the methodolgy on testing of the...

In this paper we propose the use of preferred outcome distributions as a new method to elicit individuals' value and probability weighting functions in decisions under risk. Extant approaches for the elicitation of these two key ingredients of individuals' risk attitude typically rely on a long,...

Deciding how much to save for retirement is a difficult task that includes many uncertainties. In this paper, we use data from a representative Dutch household panel to study the impact of uncertainty regarding one's savings adequacy on retirement savings contributions and information search...