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Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle

Maik Dierkes, Jan Krupski, Sebastian Schroen, Philipp Sibbertsen
Year of publication:
2024
Authors: Dierkes, Maik ; Krupski, Jan ; Schroen, Sebastian ; Sibbertsen, Philipp
Subject: Pricing kernel puzzle | Probability weighting | Risk preferences | Volatility | Risikopräferenz | Risk attitude | Volatilität | CAPM | Wahrscheinlichkeitsrechnung | Probability theory | Anlageverhalten | Behavioural finance | Prospect Theory | Prospect theory
freely available
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