A note on the existence of CAPM equilibria with homogeneous Cumulative Prospect Theory preferences
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References listed on IDEAS
- Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
- Nicholas Barberis & Ming Huang, 2008.
"Stocks as Lotteries: The Implications of Probability Weighting for Security Prices,"
American Economic Review,
American Economic Association, vol. 98(5), pages 2066-2100, December.
- Nicholas Barberis & Ming Huang, 2007. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," NBER Working Papers 12936, National Bureau of Economic Research, Inc.
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Keywordsasset pricing; capital asset pricing model; cumulative prospect theory.;
- 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
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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