The participation puzzle with reference-dependent expected utility preferences

DOI10.1016/J.INSMATHECO.2020.05.008zbMATH Open1447.91165OpenAlexW3030933983MaRDI QIDQ784446FDOQ784446

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

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zbMATH Keywords

portfolio choicereference pointloss aversionbehavioral decision makingparticipation puzzle

Mathematics Subject Classification ID

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

Cites Work

• Non-additive measure and integral
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• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Loss-averse preferences and portfolio choices: an extension
• Static portfolio choice under cumulative prospect theory
• Loss Aversion with a State-Dependent Reference Point
• Dynamic consumption and portfolio choice under prospect theory
• Comparative risk sensitivity with reference-dependent preferences
• Comparing risks with reference points: a stochastic dominance approach
• Expectations-based reference-dependent life-cycle consumption

Cited In (2)

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

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