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portfolio utility market return market portfolio function utility function investor asset result aversion assumption benchmark portfolios distribution stock condition journal preference efficiency value benchmark risk aversion utility functions dominance s-shaped utility function theory gamma premium loss aversion stock returns sample model analysis finance momentum criteria example prospect treasury bill july 1963 return distribution test statistic study s-shaped section statistic gamma premium probability prospect theory restriction pricing growth vector downside table approach markowitz winner sd criteria value-weighted market portfolio observation loser preference assumptions investor preferences month problem research theorem industry criterion error reference point sampling distribution carhart transformation fi rst-order conditions evidence value-weighted dominance analysis belief
4 Most Recent Publications
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Risk aversion and skewness preference
(Article)
Post, G.T. Vliet, P. van Levy, H. |
2008-07-01
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Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs
(Article)
Post, G.T. Levy, H. |
2005-10-01
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Does Risk Seeking drive Asset Prices?
(Research Paper)
Post, G.T. Levy, H. |
2002-07-10
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Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences
(Research Paper)
Post, G.T. Levy, H. |
2002-05-29
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