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

DOI10.1016/J.JEDC.2012.01.010zbMath1239.91144OpenAlexW3123041954MaRDI QIDQ426662

Enrico G. De Giorgi, Shane Legg

Publication date: 11 June 2012

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.01.010

zbMATH Keywords

dynamic programmingcumulative prospect theoryprobability weighting functionnarrow framingnegative skewness

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (12)

Optimal consumption with reference-dependent preferences in on-the-job search and savings ⋮ Probability weighting, stop-loss and the disposition effect ⋮ Equilibrium asset pricing with Epstein-Zin and loss-averse investors ⋮ Discrete-time behavioral portfolio selection under cumulative prospect theory ⋮ Loss aversion with multiple investment goals ⋮ Estimating cumulative prospect theory parameters from an international survey ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ Salience, systemic risk and spectral risk measures as capital requirements ⋮ Inverse S-shaped probability weighting and its impact on investment ⋮ A new preference model that allows for narrow framing ⋮ Myopic loss aversion, reference point, and money illusion ⋮ Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion

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