Market equilibrium with heterogeneous behavioural and classical investors' preferences
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More about this item
KeywordsCumulative Prospect Theory; equilibrium models; loss aversion; heterogeneous preferences; portfolio optimisation; volatility impact;
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-01 (All new papers)
- NEP-CMP-2011-10-01 (Computational Economics)
- NEP-UPT-2011-10-01 (Utility Models & Prospect Theory)
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