Consumption-Based Asset Pricing with Prospect Theory and Habit Formation

DOI10.1142/9789811202391_0048zbMath1454.91324OpenAlexW3081485406MaRDI QIDQ5139461

Mao-Wei Hung, Jr-Yan Wang

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0048

zbMATH Keywords

loss aversionprospect theoryhabit formationconsumption-based asset pricing model

Mathematics Subject Classification ID

Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30)

This page was built for publication: Consumption-Based Asset Pricing with Prospect Theory and Habit Formation