Asset pricing with loss aversion
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Publication:844788
DOI10.1016/j.jedc.2008.01.002zbMath1181.91072OpenAlexW2149220262MaRDI QIDQ844788
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://epub.uni-bayreuth.de/5568/1/gruene_et_al_jedc_2008.pdf
loss aversionstochastic growth modelsbehavioral financeasset pricing and stochastic dynamic programming
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Related Items (10)
Optimal consumption with reference-dependent preferences in on-the-job search and savings ⋮ Computational aspects of prospect theory with asset pricing applications ⋮ Asset pricing with dynamic programming ⋮ Dynamic decision-making for an inventory system with time-varying demand ⋮ Loss aversion, survival and asset prices ⋮ Dynamic portfolio choice and asset pricing with narrow framing and probability weighting ⋮ Gain-loss based convex risk limits in discrete-time trading ⋮ Optimal insurance contract and coverage levels under loss aversion utility preference ⋮ A quartet of asset pricing models in nominal and real economies ⋮ Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
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