This paper quantifies the notion of greed, and explores its connection with leverage and potential losses, in the context of a continuous-time behavioral portfolio choice model under (cumulative) prospect theory. We argue that the reference point can serve as the critical parameter in defining...

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...

We fill a gap in the proof of a (rather critical) lemma, Lemma B.1, in Jin and Zhou (Mathematical Finance, Vol. 18 (2008), pp. 385–426). We also correct a couple of other minor errors in the same paper