We formulate and carry out an analytical treatment of a single-period portfolio choice model featuring a reference point in wealth, S-shaped utility (value) functions with loss aversion, and probability weighting under Kahneman and Tversky's cumulative prospect theory (CPT). We introduce a new...

We formulate and carry out an analytical treatment of a single-period portfolio choice model featuring a reference point in wealth, S-shaped utility (value) functions with loss aversion, and probability weighting under Kahneman and Tversky's cumulative prospect theory (CPT). We introduce a new...

This paper provides a new portfolio selection rule. The objective is to minimize the maximum individual risk and we use an l_\infty function as the risk measure. We provide an explicit analytical solution for the model and are thus able to plot the entire efficient frontier. Our selection rule...