Based on the insight that risk exposure as quantified in the consumption based asset pricing model (CCAPM) is linearly proportional to the cash flow growth rate, we introduce a discounted cash flow model with a time-varying expected return structure matching the implicitly assumed risk exposure...

We propose a new parametrization of Quantum Decision Theory (QDT), based on Rank Dependent Utility Theory (RDU). Using experimental data made of choices between pairs of lotteries, we compare QDT with "classical" decision theories, RDU and Cumulative Prospect Theory (CPT). At the aggregate...

We investigate the hot hand effect in the game of cricket by analyzing the complete recorded history of international cricket. We introduce an original temporal representation of performance streaks, which is suitable to be modelled as a self-exciting point process. We confirm the presence of...

Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that prices fluctuate more than fundamentally justified....

Using a family of multivariate Weibull distributions to parameterize the non-Gaussian properties of the distributions of asset returns, we offer exact formulas for the moments and cumulants of the distribution of returns of a portfolio made of an arbitrary composition of these assets. Using...

We present a characterization of the non-Gaussian properties of the distributions of the asset returns and introduce a general parameterization of the multivariate distribution of returns based on two steps: (i) the projection of the empirical marginal distributions onto Gaussian laws via...