Prospect theory and fat tails

نویسنده

  • Philip Maymin
چکیده

A behavioral representative investor who evaluates a single risky asset based on cumulative prospect theory will often induce high kurtosis, negative skewness, and persistent autocorrelation into the distribution of market returns even if the asset payoffs are merely a sequence of independent coin tosses. These findings continue to hold even when the investor is simply loss averse.

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عنوان ژورنال:
  • Risk and Decision Analysis

دوره 1  شماره 

صفحات  -

تاریخ انتشار 2009