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On the Optimal Type and Level of Guarantees for Prospect Theory Investors
15 references·2 citing·46 second hop
On the Optimal Type and Level of Guarantees for Prospect Theory Investors (2012)On the Optimal Type and Level of Guarante…Prospect Theory: For Risk and Ambiguity (2010)Prospect Theory: For Risk and…Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products (2010)Portfolio insurance and prosp…A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008)A Universal Pricing Framework…PROBABILITY WEIGHTING FUNCTION (2005)PROBABILITY WEIGHTING FUNCTIONOptimal portfolio management with American capital guarantee (2004)Optimal portfolio management …Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed (2001)Fair Pricing of Life Insuranc…Prospect Theory: An Analysis of Decision under Risk (2000)Prospect Theory: An Analysis …Optimal Portfolio Choice Under Loss Aversion (2000)Optimal Portfolio Choice Unde…A General Equilibrium Model of Portfolio Insurance (1995)A General Equilibrium Model o…Pricing equity-linked life insurance with endogenous minimum guarantees (1993)Pricing equity-linked life in…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Equilibrium Prices of Guarantees under Equity-Linked Contracts (1977)Equilibrium Prices of Guarant…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…The Appeal of Registered Index-Linked Annuities for Myopic Prospect Theory Investors (2022)The Appeal of Registered Inde…A Cumulative Prospect View on Portfolios that Hold Structured Products (2015)A Cumulative Prospect View on…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Random Character of Stock Market Prices (1968)The Pricing of Options and Corporate Liabilities (1973)The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds (2001)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Financial valuation of guaranteed minimum withdrawal benefits (2005)Theory of rational option pricing (2005)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Brownian Motion and Stochastic Flow Systems. (1987)Continuous-Time Finance. (1991)OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)Equilibrium Analysis of Portfolio Insurance (1996)Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Theory of Rational Option Pricing (1973)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Determinants of corporate borrowing (1977)Brownian Motion and Stochastic Calculus (2007)Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011)Variable annuities: A unifying valuation approach (2011)“Options, Futures, and Other Derivatives” (2016)The Fragility of Market Risk Insurance (2022)The Probability Weighting Function (1998)On the Shape of the Probability Weighting Function (1999)Parameter-Free Elicitation of Utility and Probability Weighting Functions (2000)Salience Theory of Choice Under Risk (2012)Choices, Values, and Frames (2013)Risk Management with Benchmarking (2006)The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion (2007)Linking Measured Risk Aversion to Individual Characteristics (2002)Long–Term Orientation and Intertemporal Choice in Family Firms (2011)What you Should Know about Megaprojects and Why: An Overview (2014)Preference, Value, Choice, and Welfare (2011)Impatience and Uncertainty: Experimental Decisions Predict Adolescents' Field Behavior (2013)Quantum Models of Cognition and Decision (2015)
this work references cited by second hop

References

  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2005PROBABILITY WEIGHTING FUNCTION1,041 cited
  • 2000Prospect Theory: An Analysis of Decision under Risk922 cited
  • 2010Prospect Theory: For Risk and Ambiguity838 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities309 cited
  • 1977Equilibrium Prices of Guarantees under Equity-Linked Contracts253 cited
  • 1995A General Equilibrium Model of Portfolio Insurance170 cited
  • 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed154 cited
  • 2000Optimal Portfolio Choice Under Loss Aversion122 cited
  • 1993Pricing equity-linked life insurance with endogenous minimum guarantees121 cited
  • 2004Optimal portfolio management with American capital guarantee116 cited
  • 2010Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products

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103 cited

Cited by

  • 2015A Cumulative Prospect View on Portfolios that Hold Structured Products8 cited
  • 2022The Appeal of Registered Index-Linked Annuities for Myopic Prospect Theory Investors2 cited