Portfolio performance evaluation with loss aversion

DOI10.1080/14697688.2011.620978MaRDI QIDQ5245027zbMATH OpenOpenAlexFDO

Authors Valeri I. Zakamouline

Publication date 1 April 2015

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2011.620978

zbMATH Keywords

behavioural financedecision theoryperformance evaluationrisk measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Portfolio theory (91G10)

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Cites work

• A Standard Measure of Risk and Risk-Value Models
• An axiomatization of cumulative prospect theory
• An index of loss aversion
• First order versus second order risk aversion
• Myopic Loss Aversion and the Equity Premium Puzzle
• Prospect theory and asset prices
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory: much ado about nothing?
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

Cited in

(16)

• On the robustness of portfolio allocation under copula misspecification
• Optimal strategies under omega ratio
• Timing portfolio strategies with exponential Lévy processes
• Loss aversion with multiple investment goals
• Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework
• Downside loss aversion: winner or loser?
• Downside Loss Aversion and Portfolio Management
• Loss-averse preferences and portfolio choices: an extension
• Portfolio optimization under loss aversion
• Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
• Rao's quadratic entropy and maximum diversification indexation
• Comparing the small-sample estimation error of conceptually different risk measures
• Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
• An uncertainty theory based tri-objective behavioral portfolio selection model with loss aversion and reference level using a modified evolutionary root system growth algorithm
• Star-shaped acceptability indexes
• Portfolio choice under loss aversion and diminishing sensitivity: a theoretical extension

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