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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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Optimal asset allocation under quadratic loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2012
Persistent link: https://www.econbiz.de/10009656098
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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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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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Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
Persistent link: https://www.econbiz.de/10008669593