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Dynamic portfolio choice and asset pricing with narrow framing and probability weighting

Citations

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Cited by:

  1. Matyska, Branka, 2021. "Salience, systemic risk and spectral risk measures as capital requirements," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
  2. Shi, Yun & Cui, Xiangyu & Zhou, Xunyu, 2020. "Beta and Coskewness Pricing: Perspective from Probability Weighting," SocArXiv 5rqhv, Center for Open Science.
  3. Nicholas C. Barberis, 2012. "Thirty Years of Prospect Theory in Economics: A Review and Assessment," NBER Working Papers 18621, National Bureau of Economic Research, Inc.
  4. Marc Oliver Rieger & Mei Wang & Thorsten Hens, 2017. "Estimating cumulative prospect theory parameters from an international survey," Theory and Decision, Springer, vol. 82(4), pages 567-596, April.
  5. Thomas Epper & Helga Fehr-Duda, 2012. "The missing link: unifying risk taking and time discounting," ECON - Working Papers 096, Department of Economics - University of Zurich, revised Oct 2018.
  6. repec:osf:socarx:5rqhv_v1 is not listed on IDEAS
  7. Obregón, Carlos, 2018. "Beyond behavioral economics: who is the economic man," MPRA Paper 89653, University Library of Munich, Germany.
  8. Eric Luxenberg & Philipp Schiele & Stephen Boyd, 2024. "Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 3027-3047, November.
  9. 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.
  10. Jing Guo & Xue Dong He, 2021. "Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence," Papers 2107.05163, arXiv.org.
  11. Jakub Steiner & Colin Stewart, 2016. "Perceiving Prospects Properly," American Economic Review, American Economic Association, vol. 106(7), pages 1601-1631, July.
  12. Gao, Jianjun & Li, Yaoming & Shi, Yun & Xie, Jinyan, 2024. "Multi-period portfolio choice under loss aversion with dynamic reference point in serially correlated market," Omega, Elsevier, vol. 127(C).
  13. Luca De Gennaro Aquino & Xuedong He & Moris Simon Strub & Yuting Yang, 2024. "Reference-dependent asset pricing with a stochastic consumption-dividend ratio," Papers 2401.12856, arXiv.org.
  14. Epper, Thomas & Fehr-Duda, Helga, 2017. "A Tale of Two Tails: On the Coexistence of Overweighting and Underweighting of Rare Extreme Events," Economics Working Paper Series 1705, University of St. Gallen, School of Economics and Political Science.
  15. Curatola, Giuliano, 2017. "Optimal portfolio choice with loss aversion over consumption," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 345-358.
  16. Jan Polach & Jiri Kukacka, 2019. "Prospect Theory in the Heterogeneous Agent Model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(1), pages 147-174, March.
  17. Gao, Jianjun & Li, Duan & Xie, Jinyan & Yang, Yiwen & Yao, Jing, 2024. "When Prospect Theory Meets Mean-Reverting Asset Returns: A Behavioral Dynamic Trading Model," Journal of Banking & Finance, Elsevier, vol. 162(C).
  18. Henderson, Vicky & Hobson, David & Tse, Alex S.L., 2018. "Probability weighting, stop-loss and the disposition effect," Journal of Economic Theory, Elsevier, vol. 178(C), pages 360-397.
  19. Li, Meng, 2023. "Loss aversion and inefficient general equilibrium over the business cycle," Economic Modelling, Elsevier, vol. 118(C).
  20. Steiner, Jakub & Stewart, Colin, 2014. "Perceiving Prospects Properly," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-39, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  21. Fortin, Ines & Hlouskova, Jaroslava, 2024. "Prospect theory and asset allocation," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 214-240.
  22. Peter Schober & Julian Valentin & Dirk Pflüger, 2022. "Solving High-Dimensional Dynamic Portfolio Choice Models with Hierarchical B-Splines on Sparse Grids," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 185-224, January.
  23. Stephen G Dimmock & Roy Kouwenberg & Olivia S Mitchell & Kim Peijnenburg, 2021. "Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field," The Review of Financial Studies, Society for Financial Studies, vol. 34(9), pages 4524-4563.
  24. Xue Dong He & Zhaoli Jiang & Steven Kou, 2020. "Portfolio Selection under Median and Quantile Maximization," Papers 2008.10257, arXiv.org, revised Mar 2021.
  25. Zhao, Shuchen, 2026. "Pricing skewed assets in multi-asset experimental markets," Games and Economic Behavior, Elsevier, vol. 155(C), pages 107-148.
  26. Nicholas C. Barberis, 2013. "Thirty Years of Prospect Theory in Economics: A Review and Assessment," Journal of Economic Perspectives, American Economic Association, vol. 27(1), pages 173-196, Winter.
  27. Xie, Yuxin & Tang, Ruohua & Pantelous, Athanasios A. & Lu, Xiaomeng, 2024. "Narrow framing and under-diversification: Empirical evidence from Chinese households," China Economic Review, Elsevier, vol. 83(C).
  28. Guo, Jing & He, Xue Dong, 2021. "A new preference model that allows for narrow framing," Journal of Mathematical Economics, Elsevier, vol. 95(C).
  29. Sias, Richard & Starks, Laura T. & Turtle, H.J., 2023. "The negativity bias and perceived return distributions: Evidence from a pandemic," Journal of Financial Economics, Elsevier, vol. 147(3), pages 627-657.
  30. Bellemare, Charles & Kröger, Sabine & Sossou, Kouamé Marius, 2022. "Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion," Journal of Econometrics, Elsevier, vol. 231(1), pages 248-264.
  31. Shi, Yun & Cui, Xiangyu & Li, Duan, 2015. "Discrete-time behavioral portfolio selection under cumulative prospect theory," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 283-302.
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