The participation puzzle with reference-dependent expected utility preferences

DOI10.1016/J.INSMATHECO.2020.05.008MaRDI QIDQ784446zbMATH OpenOpenAlexFDO

Authors Jian-Li Wang, Liqun Liu, William S. Neilson

Publication date 3 August 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.05.008

zbMATH Keywords

portfolio choicereference pointloss aversionbehavioral decision makingparticipation puzzle

Mathematics Subject Classification ID

Individual preferences (91B08) Portfolio theory (91G10) Utility theory (91B16)

Recommendations

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Cites work

• A model of reference-dependent preferences
• Advances in prospect theory: cumulative representation of uncertainty
• An index of loss aversion
• Comparative risk sensitivity with reference-dependent preferences
• Comparing risks with reference points: a stochastic dominance approach
• Decision bias in the newsvendor problem with a known demand distribution: experimental evidence
• Dynamic consumption and portfolio choice under prospect theory
• Expectations-based reference-dependent life-cycle consumption
• Expected utility with purely subjective non-additive probabilities
• First order versus second order risk aversion
• Integral Representation Without Additivity
• Loss Aversion with a State-Dependent Reference Point
• Loss-averse preferences and portfolio choices: an extension
• Myopic Loss Aversion and the Equity Premium Puzzle
• Non-additive measure and integral
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory and asset prices
• Risk Aversion in the Small and in the Large
• Static portfolio choice under cumulative prospect theory
• Subjective Probability and Expected Utility without Additivity
• The economics of risk and time
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
• When can expected utility handle first-order risk aversion?

Cited in

(2)

• Reference dependence and market participation
• Return smoothing in life insurance from a client perspective

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