Fortin, Ines; Hlouskova, Jaroslava - 2010
study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more … under more realistic assumptions. In particular, we investigate the impact of different dependence structures, which can be … of symmetric (Gaussian copula) or asymmetric (Clayton copula) type. Finally, using 13 EU and US assets, we implement the …