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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
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Loss aversion and wealth allocation between risky and risk-free assets
Rengifo, Erick W. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003485124
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Investors facing risk
Rengifo, Erick W. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003487479
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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
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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
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Short-term equity trading practices of institutional investors : evidence from property-casualty insurers in the United States
Park, Jin; Query, Tim - In: Economic review : journal of economics & business 11 (2013) 2, pp. 3-13
In addition to premiums, investment income is one of the two main sources of capital for property-casualty (P/C) insurance companies. This study investigates short-term equity trading behavior of P/C insurers in the United States in 2007 and 2008, and finds that over 27 percent of non-group...
Persistent link: https://www.econbiz.de/10012010654
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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
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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
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Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We … study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more … outperform MV and CVaR portfolios. -- loss aversion ; portfolio optimization ; MV and CVaR portfolios ; copula ; investment …
Persistent link: https://www.econbiz.de/10009732564
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Loss aversion and anchoring in commercial real estate pricing : empirical evidence and price index implications
Bokhari, Sheharyar; Geltner, David - In: Real estate economics : journal of the American Real … 39 (2011) 4, pp. 635-670
Persistent link: https://www.econbiz.de/10009406354