Computational aspects of prospect theory with asset pricing applications

DOI10.1007/s10614-006-9062-2zbMath1161.91387OpenAlexW3121626976MaRDI QIDQ2642595

János Mayer, Enrico G. De Giorgi, Thorsten Hens

Publication date: 17 August 2007

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/97408/1/ZORA_NL_97408.pdf

zbMATH Keywords

Global optimizationNumerical algorithmsProspect theoryAsset pricingEquity premium puzzleNon-smooth problems

Mathematics Subject Classification ID

Related Items (5)

Asset pricing with loss aversion ⋮ The correct formula of 1979 prospect theory for multiple outcomes ⋮ Dynamic portfolio choice and asset pricing with narrow framing and probability weighting ⋮ Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study ⋮ Portfolio optimization with behavioural preferences and investor memory

Uses Software

• MINOS

Cites Work

• Asset pricing with loss aversion
• Generating random vectors uniformly distributed inside and on the surface of different regions
• Generalized concavity
• Advances in prospect theory: cumulative representation of uncertainty
• Asset pricing with dynamic programming
• Prospect Theory and Asset Prices
• Large-scale linearly constrained optimization
• Asset Prices in an Exchange Economy
• Prospect Theory: An Analysis of Decision under Risk
• Myopic Loss Aversion and the Equity Premium Puzzle
• Common risk factors in the returns on stocks and bonds
• Global optimization

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