Risk, Regimes, and Overconfidence
By Mark Kritzman, State Street Associates
Apr 15, 2001

By Mark Kritzman, Kenneth Lowry, and Anne-Sophie Van Royen

Published in the Journal of Derivatives, Spring 2001

The authors argue that the perception of risk as fully represented by the distribution of terminal wealth, together with the assumption of a single regime, leads to overconfidence.

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