Browsing Norges Handelshøyskole by Subject "capital asset pricing model"
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Prospect theory and the CAPM : a contradiction or coexistence?
(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 ...