Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
Author:
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Strategy and Management
Link
https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.1100.1269
Reference20 articles.
1. Parameter-Free Elicitation of Utility and Probability Weighting Functions
2. Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
3. Myopic Loss Aversion and the Equity Premium Puzzle
4. Optimal Portfolio Choice under Loss Aversion
5. Static portfolio choice under Cumulative Prospect Theory
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