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Prospect Theory and the CAPM: A contradiction or coexistence?

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References

1988Prospect theory: An analysis of decision under risk32,475 cited
1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
2019Theory of games and economic behavior16,630 cited
1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
1961Risk, Ambiguity, and the Savage Axioms7,892 cited
1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]6,743 cited
1966Equilibrium in a Capital Asset Market4,896 cited
1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
1958Liquidity Preference as Behavior Towards Risk

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1994The Sharpe Ratio2,542 cited

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2001Prospect Theory and Asset Prices1,876 cited

1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited

1980Financial Theory and Corporate Policy.1,699 cited

2016Two-Moment Decision Models and Expected Utility Maximization590 cited

1996Theory of incomplete markets584 cited

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