The security market line is often flat or downward-sloping. We hypothesize that probability weighting plays a role and that one ought to differentiate between periods in which agents overweight extreme events and those in which they underweight them. Overweighting inflates the probability of...

We study Arrow-Debreu equilibria for a one-period-two-date pure exchange economy with rank-dependent utility agents having heterogeneous probability weighting and outcome utility functions. In particular, we allow the economy to have a mix of expected utility agents and rank-dependent utility...

In this paper, we derive upper and lower bounds on the Range Value-at-Risk of the portfolio loss when we only know its mean and variance, and its feature of unimodality. In a first step, we use some classic results on stochastic ordering to reduce this optimization problem to a parametric one,...

In Section 2 of Bernard et al. (2020), we study bounds on Range Value-at-Risk (RVaR) under the assumption of non-negative risk. However, Proposition 3 is erroneous, and hence Theorems 3, 4, and 5 and Corollary 5 are no longer valid. In this corrigendum, we provide a direct replacement of these...

We derive upper and lower bounds for the Range Value-at-Risk of a unimodal random variable under knowledge of the mean, variance, symmetry, and a possibly bounded support. Moreover, we provide a generalization of the Gauss inequality for symmetric distributions with known support