[27] Keller, L.R., Sarin, R.K. and Weber, M. (1986), Empirical investigation
of some properties of the perceived riskiness of gambles, Organizational
Behavior and Human Decision Processes, 38, 114-130.
[28] Kimball, M. S. (1990), Precautionary Saving in the Small and in the
Large, Econometrica, 58, 53-73.
[29] Kraus, A. and Litzenberger, R.H. (1976), Skewness preference and the
valuation of risk assets, Journal of Finance, 31, 1085-1100.
[30] Leland, H. E. (1980), Who Should Buy Portfolio Insurance? Journal of
Finance, 35, 581-594.
[31] Longstaff, F. (1995), Option Pricing and the Martingale Restriction,
Review of Financial Studies, 8, 1091-1124.
[32] Luce, R.D. and Weber, E.U. (1986), An axiomatic theory of conjoint,
expected risk, Journal of Mathematical Psychology, 10, 465-485.
[33] Mehra, R. and Prescott, E. (1985), The Equity Premium: A Puzzle,
Journal of Monetary Economics, 15, 145-161.
[34] Nachman, D.C. (1988), Spanning and Completeness with Options, Re-
view of Financial Studies, 1, 311-328.
[35] Odean, T. (1998a), Are Investors Reluctant to Realize their Losses,
Journal of Finance, 53, 1775-1798.
[36] Odean, T. (1998b), Volume, Volatility, Price, and Profit When All
Traders Are Above Average, Journal of Finance, 53, 1887-1934
[37] Rouwenhorst, K.G. (1998), International Momentum Strategies, Journal
of Finance, 53, 267-284.
[38] Rubinstein, M.E. (1974), An aggregation theorem for securities markets,
Journal of Financial Economics, 1, 225-244.
[39] Sarin, R.K. (1984), Some extensions of Luce’s measures of risk, Theory
and Decision, 22, 125-141.
[40] Sarin, R.K. and Weber, M. (1993), Risk-value models, European Journal
of Operational Research, 70, 135-149.
[41] Schiereck, Dirk, Werner F.M. DeBondt, and Martin Weber (2000), Con-
trarian and Momentum Strategies in Germany, Financial Analyst Jour-
nal, 55, 104-116.
49