Prospect Theory and Mean-Variance Analysis

By Haim Levy, Moshe Levy. 2004

245 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/151e2cfe8a97fba26b27af89fbecf0f50dae4f4e

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Citations in the corpus

Portfolio performance evaluation with loss aversion (2010, unknown): “Note, however, that Levy and Levy ( 2002 , 2004 ) extended the classical stochastic dominance principles (of an everywhere risk-averse investor) by developing the Prospect and Markowitz stochastic dominance (PSD and MSD, respectively) theories with S-shaped and reverse S-shaped utility functions fo”
Preferences over location-scale family (2008, background): “These are (a) Boyle and Ma’s (2005) mean-preserving-spread (MPS) dominance relationships, and (b) the Markowitz stochastic dominance and prospect stochastic dominance developed by Levy and Wiener (1998), Levy and Levy (2002, 2004), and Wong and Chan (2008).”
Hydro-economic models: concepts, design, applications, and future prospects. (2009, background): “These approaches are stopgap measures and more advanced methods to represent risk aversion exist in the economics literature (Markowitz, 1959; Sandmo, 1971; Levy and Levy, 2004).”
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment (2011, background): “22 This phenomenon has been noted for a long time; see Mankiw and Zeldes (1991) for an example.”
Prospect and Markowitz stochastic dominance (2007, methodology): “Furthermore, Levy and Wiener (1998) and Levy and Levy (2002, 2004) develop the second order PSD and MSD theories and link them to the second order S-shaped and reverse S-shaped utility functions.”
Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications (2011, unknown): “Hence, the MSD and PSD defined in Levy and Levy are the same as the second order MSD and PSD defined in our paper. We note that Levy and Wiener (1998) and Levy and Levy (2004) define PSD as F oPSD G if and only if 0 ≤ ∫ x2”
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2007, background): “385 Shreve (1998), and Föllmer and Schied (2002) for systematic accounts on dynamic utility maximization, and Li and Ng (2000), Zhou and Li (2000), and Jin, Yan, and Zhou (2004) for recent studies on the mean–variance (including extensions to mean–risk) counterpart.”
Portfolio selection with higher moments (2010, unknown): “…Chen et al. (2001), Dittmar (2002), Athayde and Flores (2004), Burger and Warnock (2004), Goetzman and Kumar (2004), Jondeau and Rockinger (2004), Levy and Levy (2004), Patton (2004), Adcock (2005), Brunnermeier and Parker (2005), Jurczenko et al. (2005), Liew and French (2005), Sfiridis (2005),…”