Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.12/3560
Título: Anomalies to Markowitz’s hypothesis and a prospect-theoretical interpretation
Autor: Scholten, Marc
Read, Daniel
Palavras-chave: Risk aversion
Risk seeking
Preference heterogeneity
Preference uncertainty
Markowitz
Prospect theory
Data: 12-Nov-2009
Editora: Social Science Research Network
Citação: SSRN Working Paper available at http://ssrn.com/abstract=1504630
Resumo: 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 aversion for small and large gains, but disperses into five preference groups for small and large losses. There are the „Markowitzians‟ (risk aversion and risk seeking), the „non-Markowitzians‟ (risk seeking and risk aversion), the „Cautious‟ (global risk aversion), the „Audacious‟ (global risk seeking), and the „Wavering‟ (who exhibit no definite preference pattern). The other result is the migration effect: The composition of the preference groups changes across risk levels. More specifically, when going from high to moderate risk levels, the shares of the Markowitzians and the Cautious fall while the shares of the Audacious and the non-Markowitzians rise. We show that, if prospect theory accommodates the dispersion effect by allowing for heterogeneity in the elasticity of the value function and the elevation of the probability-weighing function, it correctly predicts the migration effect.
Peer review: yes
URI: http://hdl.handle.net/10400.12/3560
DOI: 10.2139/ssrn.1504630
Aparece nas colecções:PECO - Artigos em revistas internacionais

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