Abstract Mean‐Variance (M‐V) analysis and the CAPM are derived in the expected utility
framework. Behavioural Economists and Psychologists (BE&P) advocate that expected utility …

The Capital Asset Pricing Model (CAPM) and the mean-variance (MV) rule, which are based
on classic expected utility theory, have been heavily criticized theoretically and empirically …

The least restrictive sufficient condition for expected utility to imply Sharpe ratio rankings is
the location and scale (LS) property (see Sinn, 1983; Meyer, 1987). The normal, the extreme …

We study how a behavioral agent allocates her portfolio. We consider a cumulative prospect
theory investor in a single period setting with one riskless bond and multiple risky stocks …

Financial commentators have called for more research on sustainable spending rates for
individuals and endowments holding diversified portfolios. We present a forward-looking …

Several attempts have been made to reduce the impact of estimation errors on the optimal
portfolio composition. On the one hand, improved estimators of the necessary moments …

We investigate multiperiod portfolio selection problems in a Black and Scholes type market
where a basket of 1 riskfree and m risky securities are traded continuously. We look for the …

Machine learning (ML) is a novel method that has applications in asset pricing and that fits
well within the problem of measurement in economics. Unlike econometrics, ML models are …

In this paper, a heavy-tailed distribution approach is considered in order to explore the
behavior of actual financial time series. We show that this kind of distribution allows to …

In this paper we consider different approximations for computing the distribution function or
risk measures related to a discrete sum of nonindependent lognormal random variables …