A note on a framework to assess the required equity risk premium using cumulative prospect theory

dc.contributor.authorHoldsworth, Chris
dc.contributor.authorMare, Eben
dc.contributor.emaileben.mare@up.ac.zaen_ZA
dc.date.accessioned2015-09-08T08:56:42Z
dc.date.available2015-09-08T08:56:42Z
dc.date.issued2014
dc.description.abstractWe provide a framework to ascertain the required equity risk premium (ERP) within the setting of Cumulative Prospect Theory (CPT) over arbitrary investment time periods. Once accounting for behavioral biases in estimating distributions (generated by using a simulation of asset returns based on a sampling procedure) and using a CPT utility function, it becomes apparent that the key determinant of the required ERP is an investor’s time horizon.en_ZA
dc.description.librarianhb2015en_ZA
dc.description.urihttp://www.scirp.org/journal/telen_ZA
dc.identifier.citationHoldsworth, C & Mare, E 2014, 'A note on a framework to assess the required equity risk premium using cumulative prospect theory', Theoretical Economics Letters, vol. 4, pp. 89-90.en_ZA
dc.identifier.issn2162-2078 (print)
dc.identifier.issn2162-2086 (online)
dc.identifier.other10.4236/tel.2014.41014
dc.identifier.urihttp://hdl.handle.net/2263/49733
dc.language.isoenen_ZA
dc.publisherScientific Research Publishingen_ZA
dc.rights© 2014 Chris Holdsworth, Eben Maré.This is an open access article distributed under the Creative Commons Attribution International License (CC BY). http://creativecommons.org/licenses/by/4.0/.en_ZA
dc.subjectCumulative prospect theoryen_ZA
dc.subjectInvestment time horizonen_ZA
dc.subjectMulti-asset allocationen_ZA
dc.subjectEquity risk premium (ERP)en_ZA
dc.subjectCumulative prospect theory (CPT)en_ZA
dc.titleA note on a framework to assess the required equity risk premium using cumulative prospect theoryen_ZA
dc.typeArticleen_ZA

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