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Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity Aversion and Risk Aversion : A Closed-loop Approach

Han, Bingyan - 2019

This paper studies a class of robust mean-variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense of considering alternative dominated models, is introduced to the problem to reflect the investor's ambiguity aversion. To characterize the robust...

Persistent link: https://www.econbiz.de/10012896233

Behavioral Risk Profiling : Measuring Loss Aversion of Individual Investors

van Dolder, Dennie; Vandenbroucke, Jürgen - 2022

Loss aversion has been shown to be an important driver of people’s investment decisions. Encouraged by regulators …, financial institutions are in search of ways to incorporate clients’ loss aversion in their risk classifications. The most … critical obstacle appears to be the lack of a valid measurement method for loss aversion that can be straightforwardly …

Persistent link: https://www.econbiz.de/10013492094

Do Financial Advisors Exhibit Myopic Loss Aversion?

Eriksen, Kristoffer Wigestrand - 2010

Myopic loss aversion (MLA) has been proposed as an explanation for the equity premium puzzle, and a number of …

Persistent link: https://www.econbiz.de/10013142056

Loss aversion, overconfidence of investors and their impact on market performance evidence from the US stock markets

Bouteska, Ahmed; Regaieg, Boutheina - In: Journal of economics, finance & administrative science 25 (2020) 50, pp. 451-478

Purpose - The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and … overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was … study. Findings - It was documented that the loss-aversion bias negatively affects the economic performance of companies and …

Persistent link: https://www.econbiz.de/10012434081

Lattices and lotteries in apportioning risk

Schlesinger, Harris - 2014

Although risk aversion has been used in economic models for over 275 years, the past few decades have shown how higher order risk attitudes are also quite important. A behavioral approach to defining such risk attitudes was developed by Eeckhoudt and Schlesinger (2006), based upon simple lottery...

Persistent link: https://www.econbiz.de/10010431278

Diminishing marginal myopic loss aversion : a stress test on investment games experiments

Ponti, Giovanni; Tomás, Josefa - In: Journal of economic behavior & organization : JEBO 190 (2021), pp. 125-133

Persistent link: https://www.econbiz.de/10013184084

Competition among Portfolio Managers and Asset Specialization

Basak, Suleyman - 2017

managerial turnover or changing stock characteristics. The client's loss is higher when it is her manager who is replaced rather … than the other manager. But surprisingly that loss is the same whether a given change in stock characteristics applies to …

Persistent link: https://www.econbiz.de/10012976674

Game-Theoretic Model of Financial Markets with Two Risky Assets

Domansky, Victor - 2012

We consider multistage bidding models where two types of risky assets (shares) are traded between two agents that have different information on the liquidation prices of traded assets. These prices are random integer variables that are determined by the initial chance move according to a...

Persistent link: https://www.econbiz.de/10013104210

Optimal portfolio choice under loss aversion

Berkelaar, Arjan B.; Kouwenberg, Roy; Post, Thierry - In: The review of economics and statistics 86 (2004) 4, pp. 973-987

Persistent link: https://www.econbiz.de/10002536263

Expected return : expected loss approach to optimal portfolio investment

Blavatskyy, Pavlo - In: Theory and decision : an international journal for … 94 (2023) 1, pp. 63-81

Persistent link: https://www.econbiz.de/10013549126