A key premise underlying most of the economic literature is that rational decision-makers will choose dominant strategies over dominated alternatives. However, prior literature in various disciplines including business, psychology, and economics document a series of phenomena associated with...

A key premise underlying most of the economic literature is that rational decision-makers will choose dominant strategies over dominated alternatives. However, prior literature in various disciplines including business, psychology, and economics document a series of phenomena associated with...

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...