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dc.contributor.authorLevy, Haim
dc.contributor.authorDe Giorgi, Enrico
dc.contributor.authorHens, Thorsten
dc.date.accessioned2006-07-13T08:51:03Z
dc.date.available2006-07-13T08:51:03Z
dc.date.issued2003-10
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163727
dc.description.abstractUnder 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 market equilibrium the Security Market Line Theorem holds. However, under the specific functional form suggested by Tversky and Kahneman (1992) financial market equilibria do not exist. We suggest an alternative functional form that is consistent with both, the experimental results of Tversky and Kahneman and also with the existence of equilibria.en
dc.format.extent374580 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2003:11en
dc.subjectcapital asset pricing modelen
dc.subjectprospect theoryen
dc.titleProspect theory and the CAPM : a contradiction or coexistence?en
dc.typeWorking paperen


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