1. (also known as risk-aversion or implied volatility "smile" in options' prices), and in particular is consistent with its explanations based on (cumulative) prospect theory and its relatives. The foundational papers are A�?tA�?t-Sahalia and Lo;);Our general result on overconfidence connects to the literature about "non-monotone pricing kernel puzzle,2000
2. Kelly (1995) in individual investors' domestic portfolios, as well as by French and Poterba (1991) in country-level international portfolios. A more recent work is Polkovnichenko (2005), which also offers a motivation based on the rank-dependent preferences logic;Brinson;Empirical studies focusing on individual investors and linking overconfidence with underiversification are available in Goetzmann and Kumar,1975
3. Parameter-Free Elicitation of Utility and Probability Weighting Functions;Mohammed Abdellaoui;Management Science,2000
4. Choice-Based Elicitation and Decomposition of Decision Weights for Gains and Losses under Uncertainty;Mohammed Abdellaoui;Management Science,2005