Add to ORKGPortfolio choice and the implied asset pricing are usually derived assuming maximization of expected utility. In this paper, they are derived from risk-value models which generalize the Markowitz-model. We use behaviorally based risk measure with an endogenous or exogenous benchmar
International audienceThe Behavioral Portfolio Theory (BPT) developed by Shefrin and Statman is ofte...
This paper examines the properties that a risk measure should satisfy in order to characterize an in...
To study intertemporal decisions under risk, we develop a new recursive model of non-expected-utilit...
Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected...
In the fifties and sixties, mean-variance optimal portfolio decisions and their implications for ass...
Several approaches exist to model decision making under risk, where risk can be broadly defined as t...
We develop optimization models to analyze the demand for financial assets by heterogeneous agents. T...
This paper introduces an investor-specific risk measure derived from the linear-exponential (linex)u...
ABSTRACT Several approaches exist to model decision making under risk, where risk can be broadly def...
Trade among individuals occurs either because tastes (risk aversion)differ, endowments differ, or be...
To imagine that asset pricing is not dependant on behavioural heuristics and game theory, we are req...
We derive asset-pricing and portfolio-choice implications of a dynamic incomplete-markets model in w...
Investors in equilibrium are modeled as facing investor specific risks across the space of assets. P...
We provide an explicit characterization of the equilibrium when investors have heterogeneous risk pr...
A simple, dynamic, general-equilibrium model of savings and investment is populated by agents with K...
International audienceThe Behavioral Portfolio Theory (BPT) developed by Shefrin and Statman is ofte...
This paper examines the properties that a risk measure should satisfy in order to characterize an in...
To study intertemporal decisions under risk, we develop a new recursive model of non-expected-utilit...
Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected...
In the fifties and sixties, mean-variance optimal portfolio decisions and their implications for ass...
Several approaches exist to model decision making under risk, where risk can be broadly defined as t...
We develop optimization models to analyze the demand for financial assets by heterogeneous agents. T...
This paper introduces an investor-specific risk measure derived from the linear-exponential (linex)u...
ABSTRACT Several approaches exist to model decision making under risk, where risk can be broadly def...
Trade among individuals occurs either because tastes (risk aversion)differ, endowments differ, or be...
To imagine that asset pricing is not dependant on behavioural heuristics and game theory, we are req...
We derive asset-pricing and portfolio-choice implications of a dynamic incomplete-markets model in w...
Investors in equilibrium are modeled as facing investor specific risks across the space of assets. P...
We provide an explicit characterization of the equilibrium when investors have heterogeneous risk pr...
A simple, dynamic, general-equilibrium model of savings and investment is populated by agents with K...
International audienceThe Behavioral Portfolio Theory (BPT) developed by Shefrin and Statman is ofte...
This paper examines the properties that a risk measure should satisfy in order to characterize an in...
To study intertemporal decisions under risk, we develop a new recursive model of non-expected-utilit...