We propose a novel method to estimate loss aversion together with risk aversion and subjective probability weighting in a reference-dependent utility. Using multiple asset allocations in the 31 OECD pension funds, we find that our estimates of loss aversion and subjective probability weights are...

We examine the impact of return predictability and parameter uncertainty on investors' long-term portfolio allocations in the context of disappointment aversion. We find persisting horizon effects, with stocks appearing progressively more attractive at longer horizons as opposed to shorter ones....