SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
When Prospect Theory Meets Mean-Reverting Asset Returns: A Behavioral Dynamic Trading Model
16 references·0 citing·37 second hop
When Prospect Theory Meets Mean-Reverting Asset Returns: A Behavioral Dynamic Trading Model (2024)When Prospect Theory Meets Mean-Reverting…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Stochastic Controls (1999)Stochastic ControlsMethods of Mathematical Finance (1998)Methods of Mathematical Finan…Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Anomalies in Intertemporal Choice: Evidence and an Interpretation (1992)Anomalies in Intertemporal Ch…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice (1990)Gambling with the House Money…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…The equity premium: A puzzle (1985)The equity premium: A puzzleThe Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Judgment under Uncertainty: Heuristics and Biases (1975)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)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)Risk, Ambiguity, and the Savage Axioms (1961)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Toward a positive theory of consumer choice (1980)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Household Finance (2006)
this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,871 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,654 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1999Stochastic Controls2,643 cited
  • 1990Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice2,378 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1998Methods of Mathematical Finance2,335 cited
  • 1992Anomalies in Intertemporal Choice: Evidence and an Interpretation2,305 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2011Presidential Address: Discount Rates2,222 cited
  • Cited by

    No citing works inside the corpus for this window.