@article{fdb0474a340f467db923e9e789bc014f,
title = "Some properties of subjective probabilities induced by optimal expectations",
abstract = "In this paper, we examine the properties of subjective probabilities induced by optimal expectations. We show that investors who follow optimal expectations underweigh small probabilities and overweigh large probabilities in a simple binary economy. This indicates that the subjective probabilities induced by optimal expectations are incompatible with experimentally observed results under the rank dependent probability assumption.",
keywords = "Optimal expectation, Portfolio choice, Subjective probability",
author = "Hideki Iwaki and Yusuke Osaki",
note = "Funding Information: We acknowledge the referee for the useful comments and suggestions. Osaki is grateful to financial support from Japan Society for the Promotion of Science (Kakenhi No. 21830146) and the Japan Securities Scholarship Foundation. ",
year = "2010",
month = jun,
doi = "10.1016/j.frl.2009.12.004",
language = "English",
volume = "7",
pages = "98--102",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Elsevier BV",
number = "2",
}