Similar Search Results

Optimal asset allocation under quadratic loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2012

Persistent link: https://www.econbiz.de/10009656098

Optimal asset allocation under quadratic loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2012

We study the asset allocation of a quadratic loss-averse (QLA) investor and derive conditions under which the QLA … loss-averse portfolios, QLA portfolios display significantly less risk but they also yield lower returns. -- quadratic loss …

Persistent link: https://www.econbiz.de/10009684025

Loss aversion and wealth allocation between risky and risk-free assets

Rengifo, Erick W. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003485124

Investors facing risk

Rengifo, Erick W. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003487479

Loss aversion and wealth allocation when utility is derived from consumption and narrowly framed financial investments

Rengifo, Erick W. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003487490

How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application

Rengifo, Erick W.; Trifan, Emanuela - In: The VaR implementation handbook, (pp. 485-512). 2009

Persistent link: https://www.econbiz.de/10003827118

Forecasting returns with machine learning and optimizing global portfolios : evidence from the Korean and U.S. stock markets

Chun, Dohyun; Kang, Jongho; Kim, Jihun - In: Financial innovation : FIN 10 (2024), pp. 1-30

This study employs a variety of machine learning models and a wide range of economic and financial variables to enhance the forecasting accuracy of the Korean won-U.S. dollar (KRW/USD) exchange rate and the U.S. and Korean stock market returns. We construct international asset allocation...

Persistent link: https://www.econbiz.de/10015359391

How loss averse are investors in financial markets?

Hwang, Soosung; Satchell, Steve E. - In: Journal of banking & finance 34 (2010) 10, pp. 2425-2438

Persistent link: https://www.econbiz.de/10008858348

Hedging the Exchange Rate Risk in International Portfolio Diversification: Currency Forwards versus Currency Options

Maurer, Raimond; Valiani, Shohreh - 2003

As past research suggest, currency exposure risk is a main source of overall risk of international diversified portfolios. Thus, controlling the currency risk is an important instrument for controlling and improving investment performance of international investments. This study examines the...

Persistent link: https://www.econbiz.de/10010316299

Optimal asset allocation under linear loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2010

Persistent link: https://www.econbiz.de/10008669593