<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">C Bernard</style></author><author><style face="normal" font="default" size="100%">M Ghossoub</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">Static Portfolio Choice under Cumulative Prospect Theory</style></title><secondary-title><style face="normal" font="default" size="100%">Mathematics and Financial Economics</style></secondary-title></titles><dates><year><style  face="normal" font="default" size="100%">2010</style></year></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://link.springer.com/article/10.1007%2Fs11579-009-0021-2</style></url></web-urls></urls><number><style face="normal" font="default" size="100%">4</style></number><volume><style face="normal" font="default" size="100%">2</style></volume><pages><style face="normal" font="default" size="100%">277-306</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory (CPT). The study is done in a one-period economy with one risk-free asset and one risky asset, and the reference point corresponds to the terminal wealth arising when the entire initial wealth is invested into the risk-free asset. When it exists, the optimal holding is a function of a generalized&amp;nbsp;&lt;em&gt;Omega measure&lt;/em&gt;&amp;nbsp;of the distribution of the excess return on the risky asset over the risk-free rate. It conceptually resembles Merton’s optimal holding for a CRRA expected-utility maximizer. We derive some properties of the optimal holding and illustrate our results using a simple example where the excess return has a skew-normal distribution. In particular, we show how a CPT investor is highly sensitive to the&amp;nbsp;&lt;em&gt;skewness&lt;/em&gt;&amp;nbsp;of the excess return on the risky asset. In the model we adopt, with a piecewise-power value function with different shape parameters, loss aversion might be violated for reasons that are now well-understood in the literature. Nevertheless, we argue that this violation is acceptable.&lt;/p&gt;</style></abstract><issue><style face="normal" font="default" size="100%">4</style></issue></record></records></xml>