Asset pricing with loss aversion

DOI10.1016/J.JEDC.2008.01.002zbMath1181.91072OpenAlexW2149220262MaRDI QIDQ844788

Lars Grüne, Willi Semmler

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://epub.uni-bayreuth.de/5568/1/gruene_et_al_jedc_2008.pdf

zbMATH Keywords

loss aversionstochastic growth modelsbehavioral financeasset pricing and stochastic dynamic programming

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Stochastic models in economics (91B70) Dynamic programming (90C39) Economic growth models (91B62)

Related Items (10)

Optimal consumption with reference-dependent preferences in on-the-job search and savings ⋮ Computational aspects of prospect theory with asset pricing applications ⋮ Asset pricing with dynamic programming ⋮ Dynamic decision-making for an inventory system with time-varying demand ⋮ Loss aversion, survival and asset prices ⋮ Dynamic portfolio choice and asset pricing with narrow framing and probability weighting ⋮ Gain-loss based convex risk limits in discrete-time trading ⋮ Optimal insurance contract and coverage levels under loss aversion utility preference ⋮ A quartet of asset pricing models in nominal and real economies ⋮ Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming

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