We study the asset allocation of a quadratic loss-averse (QLA) investor and derive conditions under which the QLA problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically the two-asset problem of the QLA investor for a risk-free...

We examine generational differences in risk-taking behavior by means of a laboratory experiment with monetary incentives. We estimate the parameterized models in the framework of cumulative prospect theory and examine the risk aversion, probability weightings and reference point adoption of...

We measure individual-level loss aversion using three incentivized, representative surveys of the U.S. population (combined N = 3,000). We find that around 50% of the U.S. population is loss tolerant, with many participants accepting negative-expected-value gambles. This is counter to earlier...

We measure individual-level loss aversion using three incentivized, representative surveys of the U.S. population (combined N=3,000). We find that around 50% of the U.S. population is loss tolerant, with many participants accepting negative-expected-value gambles. This is counter to earlier...