Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 6, 2019 erstellt
Description:
Barberis and Huang (2009, J. Econ. Dynam. Control, vol. 33, no. 8, pp. 1555-1576) propose a preference model that allows for narrow framing, and this model has been successfully applied to explain individuals' attitudes toward timeless gambles and high equity premiums in the market. To uniquely define the utility process in this preference model and to yield a unique solution when the model is applied to portfolio selection problems, one need impose some restrictions on the model parameters, which are too tight for many financial applications. We propose a modification of Barberis and Huang's model and show that the modified model admits a unique utility process and a unique solution in portfolio selection problems. Moreover, the modified model is more tractable than Barberis and Huang's when applied to portfolio selection and asset pricing