Asset pricing with loss aversion

DOI10.1016/J.JEDC.2008.01.002MaRDI QIDQ844788zbMATH OpenOpenAlexFDO

Authors Lars Grüne, Willi Semmler

Publication date 19 January 2010

Published in Journal of Economic Dynamics and 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

asset pricing and stochastic dynamic programmingbehavioral financeloss aversionstochastic growth models

Mathematics Subject Classification ID

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

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Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models
• Asset Prices in an Exchange Economy
• Asset pricing with dynamic programming
• Comparing accuracy of second-order approximation and dynamic programming
• Computational aspects of prospect theory with asset pricing applications
• Do CAPM results hold in a dynamic economy? A numerical analysis
• Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation
• scientific article; zbMATH DE number 3773316 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Imperfect knowledge economics: Exchange rates and risk. Foreword by Edmund S. Phelps.
• Myopic Loss Aversion and the Equity Premium Puzzle
• Preferences with frames: A new utility specification that allows for the framing of risks
• Prospect theory and asset prices
• Prospect Theory: An Analysis of Decision under Risk
• Taxes, Regulations, and the Value of U.S. and U.K. Corporations
• The General Theory of Employment, Interest, and Money
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• Using dynamic programming with adaptive grid scheme for optimal control problems in economics

Cited in

(16)

• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
• Equilibrium asset pricing with Epstein-Zin and loss-averse investors
• A quartet of asset pricing models in nominal and real economies
• 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 and the price of risk
• Downside Loss Aversion and Portfolio Management
• Loss-averse preferences and portfolio choices: an extension
• Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
• Loss aversion in an agent-based asset pricing model
• Portfolio performance evaluation with loss aversion
• Optimal insurance contract and coverage levels under loss aversion utility preference
• Gain-loss based convex risk limits in discrete-time trading
• Loss aversion, survival and asset prices

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