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Making prospect theory fit for finance
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Cited by:
- Marie Pfiffelmann, 2006. "Which Optimal Design For LLDAs?," Working Papers of LaRGE Research Center 2006-06, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
- Azevedo, Eduardo M. & Gottlieb, Daniel, 2012. "Risk-neutral firms can extract unbounded profits from consumers with prospect theory preferences," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1291-1299.
- Kremena Bachmann & Thorsten Hens, 2010. "Behavioral Finance and Investment Advice," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 15, Edward Elgar Publishing.
- Peel, D.A. & Zhang, Jie, 2012. "On the potential for observational equivalence in experiments on risky choice when a power value function is assumed," Economics Letters, Elsevier, vol. 116(1), pages 8-10.
- Broll, Udo & Egozcue, Martín & Wong, Wing-Keung & Zitikis, Ričardas, 2010. "Prospect theory and hedging risks," Dresden Discussion Paper Series in Economics 05/10, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
- Jakusch, Sven Thorsten, 2017. "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series 148, Leibniz Institute for Financial Research SAFE, revised 2017.
- Patrick Afflerbach, 2015. "The Business Value of IT in Light of Prospect Theory," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 57(5), pages 299-310, October.
- Fulga, Cristinca, 2016. "Portfolio optimization under loss aversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 310-322.
- Guo, Jing & He, Xue Dong, 2017. "Equilibrium asset pricing with Epstein-Zin and loss-averse investors," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 86-108.
- Peel, D.A., 2010. "On lottery sales, jackpot sizes and irrationality: A cautionary note," Economics Letters, Elsevier, vol. 109(3), pages 161-163, December.
- Uhl, Matthias W. & Rohner, Philippe, 2018. "The compensation portfolio," Finance Research Letters, Elsevier, vol. 27(C), pages 60-64.
- André Gygax & Anna Griffiths, 2007. "Do venture capitalists imitate portfolio size?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(1), pages 69-94, March.
- Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2014.
"Spatial system estimators for panel models: A sensitivity and simulation study,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 101(C), pages 78-102.
- Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2012. "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Economics Series 294, Institute for Advanced Studies.
- Shuangzhe Liu & Tiefeng Ma & Wolfgang Polasek, 2013. "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Working Paper series 05_13, Rimini Centre for Economic Analysis.
- Shuangzhe Liu & Tiefeng Ma & Wolfgang Polasek, 2012. "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Working Paper series 75_12, Rimini Centre for Economic Analysis.
- Rabah Amir & Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2022.
"An evolutionary finance model with short selling and endogenous asset supply,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 655-677, April.
- Rabah Amir & Sergei Belkov & Igor Evstigneev & Thorsten Hens, 2022. "An evolutionary finance model with short selling and endogenous asset supply," Post-Print hal-02617447, HAL.
- Saziye Gazioğlu & Nilifer Calıskan, 2011. "Cumulative prospect theory challenges traditional expected utility theory," Applied Financial Economics, Taylor & Francis Journals, vol. 21(21), pages 1581-1586.
- Häckel, Björn & Pfosser, Stefan & Tränkler, Timm, 2017. "Explaining the energy efficiency gap - Expected Utility Theory versus Cumulative Prospect Theory," Energy Policy, Elsevier, vol. 111(C), pages 414-426.
- Fortin, Ines & Hlouskova, Jaroslava, 2011.
"Optimal asset allocation under linear loss aversion,"
Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2974-2990, November.
- Fortin, Ines & Hlouskova, Jaroslava, 2010. "Optimal Asset Allocation Under Linear Loss Aversion," Economics Series 257, Institute for Advanced Studies.
- Vicky Henderson, 2012. "Prospect Theory, Liquidation, and the Disposition Effect," Management Science, INFORMS, vol. 58(2), pages 445-460, February.
- Beatrice D. Simo-Kengne & Kofi A. Ababio & Jules Mba & Ur Koumba, 2018. "Behavioral portfolio selection and optimization: an application to international stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 311-328, August.
- Bernard, Carole & Ghossoub, Mario, 2009. "Static Portfolio Choice under Cumulative Prospect Theory," MPRA Paper 15446, University Library of Munich, Germany.
- Fulga, Cristinca, 2016. "Portfolio optimization with disutility-based risk measure," European Journal of Operational Research, Elsevier, vol. 251(2), pages 541-553.
- Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015.
"Rationalizing investors’ choices,"
Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
- Carole Bernard & Jit Seng Chen & Steven Vanduffel, 2013. "Rationalizing Investors Choice," Papers 1302.4679, arXiv.org, revised Jan 2014.
- Leoneti, Alexandre Bevilacqua & Gomes, Luiz Flavio Autran Monteiro, 2021. "A novel version of the TODIM method based on the exponential model of prospect theory: The ExpTODIM method," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1042-1055.
- Luis A.G. Coelho, 2014. "Portfolio Selection Optimization under Cumulative Prospect Theory – a parameter sensibility analysis," CEFAGE-UE Working Papers 2014_06, University of Evora, CEFAGE-UE (Portugal).
- Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2008. "A Behavioural Approach To Financial Puzzles," Working Papers of LaRGE Research Center 2008-01, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
- Brünner, Tobias & Reiner, Jochen & Natter, Martin & Skiera, Bernd, 2019. "Prospect theory in a dynamic game: Theory and evidence from online pay-per-bid auctions," Journal of Economic Behavior & Organization, Elsevier, vol. 164(C), pages 215-234.
- repec:ebl:ecbull:v:4:y:2007:i:26:p:1-10 is not listed on IDEAS
- Leoneti, Alexandre Bevilacqua & Gomes, Luiz Flavio Autran Monteiro, 2021. "Modeling multicriteria group decision making as games from enhanced pairwise comparisons," Operations Research Perspectives, Elsevier, vol. 8(C).
- David Peel & David Law, 2007. "Betting on odds on Favorites as an Optimal Choice in Cumulative Prospect Theory," Economics Bulletin, AccessEcon, vol. 4(26), pages 1-10.
- Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019. "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Leibniz Institute for Financial Research SAFE, revised 2019.
- Trond Døskeland, 2007. "Strategic asset allocation for a country: the Norwegian case," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(2), pages 167-201, June.
- Sweksha Srivastava & Abha Aggarwal & Pooja Bansal, 2024. "Efficiency Evaluation of Assets and Optimal Portfolio Generation by Cross Efficiency and Cumulative Prospect Theory," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 129-158, January.
- Peel, D.A. & Zhang, Jie, 2009. "The expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theory," Economics Letters, Elsevier, vol. 105(3), pages 326-329, December.
- Sebastian Ebert & Philipp Strack, 2015. "Until the Bitter End: On Prospect Theory in a Dynamic Context," American Economic Review, American Economic Association, vol. 105(4), pages 1618-1633, April.
- Ines Fortin & Jaroslava Hlouskova, 2015. "Downside loss aversion: Winner or loser?," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 181-233, April.
- Massimiliano Kaucic & Filippo Piccotto & Gabriele Sbaiz & Giorgio Valentinuz, 2023. "Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(4), pages 1-4.
- Marie Pfiffelmann, 2011. "Solving the St. Petersburg Paradox in cumulative prospect theory: the right amount of probability weighting," Theory and Decision, Springer, vol. 71(3), pages 325-341, September.
- Fortin, Ines & Hlouskova, Jaroslava, 2012. "Optimal Asset Allocation under Quadratic Loss Aversion," Economics Series 291, Institute for Advanced Studies.
- Frans de Roon & Paul Karehnke, 2017. "A Simple Skewed Distribution with Asset Pricing Applications," Review of Finance, European Finance Association, vol. 21(6), pages 2169-2197.