Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 12, 2023 erstellt
Beschreibung:
We propose a new weighting function, generalized Wang transform, derived from normality invariance. This function takes various shapes, including concave, convex, S-shaped and inverse S-shaped functions, depending on the range of parameters and distinguishes the curvature and elevation of probability weighting. With this function, we prove the CAPM and Security Market Line Theorem (SMLT) under probability weighting by assuming risk aversion and loss aversion, respectively. Moreover, we find the overpricing of skewness through numerical analysis and provide intuitive explanations from the perspective of perceived distributions