The perception that it's hard to beat the market portfolio is widespread. Indeed, passive investment has more than doubled in the last decade. While various different strategies have been suggested to outperform passive indexing, the market is still considered the relevant benchmark to beat. The...

The continuous-time CAPM assumes that investors are risk-averse. However, these is a very large body of empirical and experimental evidence documenting that many investors are not globally risk-averse: Prospect Theory and aspiration-level models are two well-known examples of this literature....