Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit the derivation of risk-value efficient frontiers. A behaviorally based risk measure with an endogenous or exogenous benchmark is used to derive efficient portfolios and to...

Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected utility. In this Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk measure with an endogenous or exogenous benchmark. If the...