On the investment direction of a behavioral portfolio choice model

The existing results show that for two-point distributions, the investment direction of a CPT-investor is determined by the actual (respectively, perceived) market opportunity when the investor is in a gain (respectively, loss) position. For general distributions this article shows that the result in the case of gain positions still holds when the CPT-investor is sufficiently loss-averse, but no longer holds in the case of loss positions by constructing counterexamples.