Loss-averse preferences and portfolio choices: an extension

DOI10.1016/J.EJOR.2015.08.019zbMATH Open1346.91080OpenAlexW1201844663MaRDI QIDQ320908FDOQ320908

Authors: Anna Maria Fiori, Emanuela Rosazza Gianin, Louis Eeckhoudt 

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.08.019

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zbMATH Keywords

uncertainty modellingstochastic dominancedecision analysisrisk managementutility theory

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Cites Work

• Coherent measures of risk
• Stochastic orders
• Stochastic finance. An introduction in discrete time
• The economics of risk and time
• Prospect Theory: An Analysis of Decision under Risk
• Expected utility without utility
• Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
• New results on the relationship among risk aversion, prudence and temperance
• The values of relative risk aversion and prudence: a context-free interpretation
• Increasing outer risk
• Downside Loss Aversion and Portfolio Management
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk

Cited In (13)

• Downside Loss Aversion and Portfolio Management
• Higher-degree stochastic dominance optimality and efficiency
• Risk analysis and decision theory: a bridge
• Portfolio allocation problems between risky and ambiguous assets
• Loss aversion, habit formation and the term structures of equity and interest rates
• Risk aversion, downside risk aversion, and the transition to entrepreneurship
• Portfolio choice in the model of expected utility with a safety-first component
• The participation puzzle with reference-dependent expected utility preferences
• Optimal investment under ambiguous technology shocks
• Portfolio performance evaluation with loss aversion
• Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion
• A model for the optimal selection of lenders
• Myopic Loss Aversion and the Equity Premium Puzzle

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