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Keywords: Cumulative Prospect Theory
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2016) 5 (2): 305–350.
Published: 21 December 2016
...Jonathan E. Ingersoll, Jr. Cumulative Prospect Theory (CPT) has been used as a possible explanation of aggregate pricing anomalies like the equity premium puzzle. This paper shows that, unlike in expected utility models, a complete market is not sufficient to guarantee that the market portfolio...
