• Making prospect theory fit for finance 

      De Giorgi, Enrico; Hens, Thorsten (Discussion paper, Working paper, 2005-09)
      This paper gives a survey over a common aspect of prospect theory that occurred to be of importance in a series of recent papers developed by Enrico De Giorgi, Thorsten Hens, Janos Mayer, Haim Levy, Thierry Post, Marc ...
    • Prospect theory and the CAPM : a contradiction or coexistence? 

      Levy, Haim; De Giorgi, Enrico; Hens, Thorsten (Discussion paper, Working paper, 2003-10)
      Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial ...
    • Prospect theory and the size and value premium puzzles 

      De Giorgi, Enrico; Hens, Thorsten; Post, Thierry (Discussion paper, Working paper, 2005-11)
      Using canonical data for the US stock and bond markets, we show that the kinked piecewiseexponential value function can rationalize the cross-section of stock returns in addition to the level of the equity premium, while ...
    • Two paradigms and Nobel prizes in economics : a contradiction or coexistence? 

      Levy, Haim; De Giorgi, Enrico; Hens, Thorsten (Discussion paper, Working paper, 2003-06)
      Markowitz and Sharpe won the Nobel Prize in Economics more than a decade ago for the development of Mean-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year 2002, Kahneman won the Nobel Prize in ...