Computational aspects of prospect theory with asset pricing applications
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چکیده
منابع مشابه
Computational Aspects of Prospect Theory with Asset Pricing Applications
We develop an algorithm to compute asset allocations for Kahneman and Tversky’s (1979) prospect theory. An application to benchmark data as in Fama and French (1992) shows that the equity premium puzzle is resolved for parameter values similar to those found in the laboratory experiments of Kahneman and Tversky (1979). While previous studies like Benartzi and Thaler (1995), Barberis, Huang, and...
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متن کاملProspect theory and asset prices pdf
We study asset prices in an economy where investors derive direct utility not. Our model is influenced by prospect theory and by experimental evidence on how.We study asset prices in an economy where investors derive direct utility not. Of our model is influenced by prospect theory and by experimental evidence on.PROSPECT THEORY AND ASSET PRICES Authors: N. The point of this note is to explain ...
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ژورنال
عنوان ژورنال: Computational Economics
سال: 2007
ISSN: 0927-7099,1572-9974
DOI: 10.1007/s10614-006-9062-2