The typical portfolio theory does not distinguish investors and asset managers. Most of investments, however, are delegated to asset managers, which leads to an Agency problem. Moreover, the Agency problem faced by the investment industry is specific as the managers can manipulate the...

This paper is a first attempt to develop a methodology, consistent with non-linear probability weighting, to construct portfolios for Private Banking customers. Empirical evidence suggests that decision makers transform probability kernels in a non-linear way (Kahneman and Tversky (1992), Prelec...

This paper discusses coherent risk measures and the transformation of so-called objective probability distributions, also called distortion functions. It is argued that observed probability weighting as described in Kahneman and Tversky (1992) is not due to behavioral (irrational ?) reasons, but...

This Paper discusses portfolio selection when individuals deviate from expected utility maximization. In fact, experimental evidence shows that agents do not behave like an expected utility maximizer. Notably, the independence axiom is systematically violated. Empirical studies show that people...

This Paper discusses portfolio selection when individuals deviate from expected utility maximization. In fact, experimental evidence shows that agents do not behave like an expected utility maximizer. Notably, the independence axiom is systematically violated. Empirical studies show that people...