suggest that part of the diversifi- cation puzzle may be due to reliance on the conventional CAPM model as the benchmark … expected utility (GEU) to the diversification of agents who maximize the conventional expected utility (EU). Specifically, we … derive the patterns of diversification for agents who maximize a rank-dependent' expected utility, attaching more weight to …

-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the investment …

null hypothesis of subjective expected utility for a majority of subjects. Most of the remaining subjects exhibit …