Behavioral finance models can help to explain several stylized facts in financial markets. As one of the behavioral financial theory, prospect theory describes how ‘irrational investors’ making decisions under uncertainty. In this paper, we present a heterogeneous agent-based asset pricing model, where parts of investors determine their demand for risky asset using prospect theory utility function. Time series generated from simulation show many stylized facts that can be observed in actual financial markets, such as abnormal distribution of asset returns, volatility clustering and equity premium. We also find that positive correlation between investors’ performance and their market share, negative correlation between investors’ performance and the loss aversion coefficient under certain market condition.