Computational aspects of prospect theory with asset pricing applications

DOI10.1007/S10614-006-9062-2MaRDI QIDQ2642595zbMATH OpenOpenAlexFDO

Authors Enrico G. De Giorgi, Thorsten Hens, J. Mayer

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

Asset pricingEquity premium puzzleGlobal optimizationNon-smooth problemsNumerical algorithmsProspect theory

Mathematics Subject Classification ID

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Cites work

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

Cited in

(10)

• Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
• Portfolio optimization with behavioural preferences and investor memory
• The correct formula of 1979 prospect theory for multiple outcomes
• Prospect Theory Behavioral Assumptions in an Artificial Financial Economy
• Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
• Prospect theory-based portfolio optimization: an empirical study and analysis using intelligent algorithms
• scientific article; zbMATH DE number 6169020 (Why is no real title available?)
• A new behavioral model for portfolio selection using the half-full/half-empty approach
• Asset pricing with loss aversion
• Computational exploration of the biological basis of Black-Scholes expected utility function

Describes a project that uses

Uses Software

• MINOS

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