Dynamic Trading with Reference Point Adaptation and Loss Aversion

DOI10.1287/opre.2015.1399zbMath1329.91126OpenAlexW1951132231WikidataQ57445411 ScholiaQ57445411MaRDI QIDQ3465581

Jing Yao, Yun Shi, Li, Duan, Xiangyu Cui

Publication date: 22 January 2016

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2015.1399

zbMATH Keywords

portfoliodecision analysisfinanceutility/preferencevalue theory

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10)

Related Items (13)

How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection ⋮ DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ Equilibrium asset pricing with Epstein-Zin and loss-averse investors ⋮ Discrete-time behavioral portfolio selection under cumulative prospect theory ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ A central limit theorem, loss aversion and multi-armed bandits ⋮ Behavioral Portfolio Optimization with Social Reference Point ⋮ Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment ⋮ Some properties of the optimal investment strategy in a behavioral portfolio choice model ⋮ The impact of a reference point determined by social comparison on wealth growth and inequality ⋮ Day-to-day evolution model based on dynamic reference point with heterogeneous travelers ⋮ Reference-dependent aggregation in multi-attribute group decision-making ⋮ Realization Utility with Path-Dependent Reference Points

Cites Work

• First order versus second order risk aversion
• The ostrich effect: Selective attention to information
• Advances in prospect theory: cumulative representation of uncertainty
• Static portfolio choice under cumulative prospect theory
• An experimental examination of the house money effect in a multi-period setting
• Prospect Theory and Asset Prices
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• A Model of Reference-Dependent Preferences*
• HEDGING BY SEQUENTIAL REGRESSIONS REVISITED
• Prospect Theory: An Analysis of Decision under Risk
• Loss Aversion with a State-Dependent Reference Point
• Myopic loss aversion, reference point, and money illusion
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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