Behavioral finance endeavors to bridge the gap between finance and psychology. Now an
established field, behavioral finance studies investor decision processes which in turn shed …

Finance is in the midst of a paradigm shift, from a neoclassical based framework to a
psychologically based framework. Behavioral finance is the application of psychology to …

The current single granularity-based static prediction approaches face difficulties in
capturing the dynamic trend of stock markets by the fusion of historical prices and streaming …

RISK AND RETURN IN BEHAVIORAL SDF-BASED ASSET PRICING MODELS Page 1 JOIM
www.joim.com JOURNAL OF INVESTMENT MANAGEMENT, Vol. 6, No. 3, (2008), pp. 1–18 © …

Recent asset pricing studies demonstrate the relevance of incorporating coskewness in
asset pricing models, and illustrate how this component helps to explain the time variation of …

We estimate investable comoment equity risk premiums for the US markets. The stock's
contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a …

We develop exact mean–variance efficiency tests of the market portfolio in the context of
(conditional and unconditional) capital asset pricing models (CAPM), allowing for a wide …

We propose exact simulation-based procedures for:(i) testing mean-variance efficiency
when the zero-beta rate is unknown;(ii) building confidence intervals for the zero-beta rate …

This book sheds light on the emotional side of risk taking behaviour using an innovative
cross-disciplinary approach, mixing financial competences with psychology and affective …

Portfolio theory may be the most fecund intellectual export from quantitative finance to other
sciences. Social sciences outside the strictly financial domain have applied portfolio theory …