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- W3125765124 abstract "In this paper we analyze how changes in inverse S-shaped probability weighting influence optimal portfolio choice in a rank-dependent utility model. We derive sufficient conditions for the existence of an optimal solution of the investment problem, and then define the notion of a more inverse S-shaped probability weighting function. We show that an increase in inverse S-shaped weighting typically leads to a lower allocation to the risky asset, regardless of whether the return distribution is skewed left or right, as long as it offers a non-negligible risk premium. Only for lottery stocks with poor expected returns and extremely positive skewness does an increase in inverse S-shaped probability weighting lead to larger portfolio allocations." @default.
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- W3125765124 date "2017-01-01" @default.
- W3125765124 modified "2023-09-22" @default.
- W3125765124 title "Inverse S-Shaped Probability Weighting and Its Impact on Investment" @default.
- W3125765124 doi "https://doi.org/10.2139/ssrn.3067189" @default.
- W3125765124 hasPublicationYear "2017" @default.
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