摘要：We obtain exact solutions to the static portfolio problems where the reference point arises endogenously in “personal equilibrium,” a concept developed by Koszegi and Rabin [Koszegi, B. and M. Rabin, 2007. Reference-dependent risk attitudes. American Economic Review 97, 1047-1073]. Our solutions provide precise insights into the implications of endogenous reference on portfolio choice. First, under state independent comparison, we show that the investor in personal equilibrium behaves as if she had a concave probability weighting function. This finding establishes a link between the reference-dependent utility theory and the widely exploited rank-dependent utility theory. Second, under state-dependent comparison, we show that the optimal choices in the personal equilibrium are not unique and constitute a connected interval. Third, we provide an unambiguous ranking of the risky choices given different references, and use this to examine the explanatory power of personal equilibria for the equity premium puzzle. Our empirical calibrations show that the personal equilibrium based on state independent comparisons accommodates evaluation horizons ranging from 5 months to 7 years, whereas the personal equilibrium based on state-dependent comparisons can only accommodate horizons no longer than 12 months.