References
[1] Back, K. and Dybvig, P. H. (1993), On the Existence of Optimal Port-
folios in Complete Markets, Working paper, Washington University in
St. Louis.
[2] Barberis, N. and Huang, M. (2000), Mental Accounting, Loss Aversion,
and Individual Stock Returns, Working Paper.
[3] Barberis, N., Huang, M. and Santos, T. (2001), Prospect Theory and
Asset Prices, Quarterly Journal of Economics, forthcoming.
[4] Bawa, V.S. and Lindenberg, B.E. (1977), Capital market equilibrium
in a mean-lower partial moment framework, Journal of Financial Eco-
nomics, 5, 189-200.
[5] Bell, D.E. (1995a), Risk, return, and utility, Management Science, 41,
23-30.
[6] Bell, D.E. (1995b), A contextual uncertainty condition for behavior un-
der risk, Management Science, 41, 1145-1150.
[7] Benninga, S. and Blume, M. (1985), On the Optimality of Portfolio
Insurance, Journal of Finance, 40, 1341-1352.
[8] Benninga, S. and Mayshar, J. (2000), Heterogeneity and Option Pricing,
Review of Derivatives Research, 4, 7-27.
[9] Brachinger, H.-W. and Weber, M. (1997), Risk as a primitive: a survey
of measures of perceived risk, OR-Spektrum, 19, 235-250.
[10] Brennan, M. J. and Solanki, M. (1981), Optimal Portfolio Insurance,
Journal of Financial and Quantitative Analysis, 16, 279-300.
[11] Brenner, M. and Y-H Eom (1996), Semi-Nonparametric Tests of the
Martingale Restrictions of Option Prices, Working Paper, New York
University.
[12] Cass, D. and Stiglitz, J.E. (1970), The structure of investor preferences
and asset returns, and separability in portfolio allocation: A contribu-
tion to the pure theory of mutual funds, Journal of Economic Theory,
2, 122-160.
[13] Christensen, B.J. and N.R. Prabhala (1998), The relation between im-
plied and realized volatility, Journal of Financial Economics, 50, 125-
150.
47