The Cumulative Prospect Theory, as it was specified by Tversky and Kahneman (1992) does not explain the St Petersburg Paradox. This study shows that the solutions proposed in the literature (Blavatskky, 2005; Rieger and Wang, 2006) to guarantee, under rank dependant models, finite subjective...

Lottery-linked deposit accounts are financial assets that provide an interest rate determined by a lottery. The aim of this study is to determine the optimal design of these financial assets (under cumulative prospect theory (CPT) framework). We underline that the weighting functions usually...

The Behavioral Portfolio Theory (BPT) developed by Shefrin and Statman (2000) is often set against Markowitz's (1952) Mean Variance Theory (MVT). In this paper, we compare the asset allocations generated by BPT and MVT without restrictions. Using U.S. stock prices from the CRSP database for the...

This paper proposes an historical analysis of lottery linked financial assets. We show that these kind of assets are very famous and are able to raise a huge amount of money even when their expected return is relatively low. In some cases, they can be considered as a really cheap source of fund....