Downside Loss Aversion and Portfolio Management

DOI10.1287/mnsc.1050.0486zbMath1232.91624OpenAlexW2137001314MaRDI QIDQ3115967

Feng Zhao, Robert A. Jarrow

Publication date: 21 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/bc89f31aec51ca60d311fc2373055b897dcf5d9e

zbMATH Keywords

portfolio managementheavy-tail distributionsdownside risk loss aversion

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (12)

Distribution-robust loss-averse optimization ⋮ Nonparametric mean-lower partial moment model and enhanced index investment ⋮ Loss-averse preferences and portfolio choices: an extension ⋮ Optimal management of DC pension plan under loss aversion and value-at-risk constraints ⋮ Static portfolio choice under cumulative prospect theory ⋮ Two-stage international portfolio models with higher moment risk measures ⋮ Emergency-dependent supply decisions with risk perception and price control ⋮ Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection ⋮ Estimating the term structure of commodity market preferences ⋮ Comparing risks with reference points: a stochastic dominance approach ⋮ Downside loss aversion: winner or loser? ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns

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