Using 1-min data of nine cryptocurrency prices, spanning the period 2017 to 2021, the
analysis extends Hasan et al., 2021, Ahmed and Al Mafrachi, 2021 papers that explore the …

We propose a new asset pricing model which generalizes the mean-variance framework by
including probability weighting, specifically the overweighting of rare, high-impact events …

This paper shows that one needs to be careful when making statements on potential links
between correlation and coskewness. Specifically, we first show that, on the one hand, it is …

We introduce a novel framework for the portfolio selection problem in which investors aim to
target a return distribution, and the optimal portfolio has a return distribution as close as …

Many models of investor behavior predict that investors prefer assets that they believe to
have positively skewed return distributions. We elicit detailed return expectations for a broad …

This dissertation is a collection of three independent chapters that aim to better understand
asset pricing models and investor preferences. In sum, this dissertation has three main …

The interactions between all elements in the universe persist, whether their influence is
mighty or subtle. For instance, planets move around stars, while molecules continuously …