The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory preferences …

rebalancing, prospect theory with a fixed reference point, or the justification hypothesis explain the disposition effect. …

literature) or forward-looking (as implicitly suggested by Prospect Theory). For bothcases, we specify and estimate a fully …

theory. We identify sufficient conditions for mutual fund separation in reward-risk models in general and for prospect theory … in particular. It is shown that a prospect theory investor satisfies mutual fund separation if the reference point is the … risk-free rate. For other reference points mutual fund separation fails for the prospect theory reward-risk model and, as …

In this paper we present a two period model, where the agent's preferences are described by prospect theory as proposed …

. A standard explanation of the disposition effect refers to prospect theory and in particular to the asymmetric risk … that for reasonable parameter values the disposition effect can however not be explained by the prospect theory as proposed … first place not have invested in stocks. That is to say the standard prospect theory argument is sound ex-post, assuming …