Anomalies to Markowitz’s hypothesis and a prospect-theoretical interpretation
Markowitz hypothesized a fourfold pattern of risk preferences, with risk aversion for large gains and small losses, but risk seeking for small gains and large losses. We test his hypothesis, and obtain two major results. One is the dispersion effect: A majority exhibits risk seeking and risk aversio...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2015
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| Texto completo: | http://hdl.handle.net/10400.12/3560 |
| País: | Portugal |
| Oai: | oai:repositorio.ispa.pt:10400.12/3560 |