McManus, Ian; Gwilym, Owain Ap; Thomas, Stephen - In: International Journal of Behavioural Accounting and Finance 1 (2009) 2, pp. 95-110
The equity risk premium has attracted considerable debate and various proposed explanations. We re-examine one approach based on myopic loss aversion, while incorporating time variation in returns distributions. We identify optimal asset allocations across a two-century period for the UK, in the...
