We study multi-period equilibrium asset pricing in an economy with Epstein-Zin (EZ-) agents whose preferences for consumption are represented by recursive utility and with loss averse (LA-) agents who derive additional utility of gains and losses and are averse to losses. We propose an...

We consider the dynamic casino gambling model initially proposed by Barberis [Manage. Sci., 2012, 58, 35-51] and study the optimal stopping strategy of a pre-committing gambler with cumulative prospect theory (CPT) preferences. We illustrate how the strategies computed in Barberis [2012] can be...

In a new scheme for hedge fund managerial compensation known as the first-loss scheme, a fund manager uses her investment in the fund to cover any fund losses first; by contrast, in the traditional scheme currently used in most U.S. funds, the manager does not cover investors' losses in the...