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Risk Preferences Around the World
TLDR
We present results from a large-scale international survey on risk preferences conducted in 53 countries. Expand
Making prospect theory fit for finance
The prospect theory of Kahneman and Tversky (in Econometrica 47(2), 263–291, 1979) and the cumulative prospect theory of Tversky and Kahneman (in J. Risk uncertainty 5, 297–323, 1992) are descriptiveExpand
Evolutionary stability of portfolio rules in incomplete markets
This paper studies the evolution of market shares of portfolio rules in incomplete markets with short-lived assets. Prices are determined endogenously. The performance of a portfolio rule in theExpand
Does Prospect Theory Explain the Disposition Effect?
The disposition effect is the observation that investors tend to realize gains more than losses. This behavior is puzzling because it cannot be explained by traditional finance theories. A standardExpand
Market Selection and Survival of Investment Strategies
The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model under study, asset payoffs depend on exogenous random factors.Expand
Handbook of Financial Markets: Dynamics and Evolution
The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques asExpand
Market Selection of Financial Trading Strategies: Global Stability
In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique survivingExpand
Three Solutions to the Pricing Kernel Puzzle
The pricing kernel is an important link between economics and finance. In standard models of financial economics, it is proportional to the aggregate marginal utility in the economy. We first showExpand
Evolutionary stable stock markets
Summary.This paper shows that a stock market is evolutionary stable if and only if stocks are evaluated by expected relative dividends. Any other market can be invaded in the sense that there is aExpand
Globally evolutionarily stable portfolio rules
TLDR
The paper examines a dynamic model of a financial market with endogenous asset prices determined by short-run equilibrium of supply and demand. Expand
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