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Horizon-adjusted portfolio performance measure

Kroll, Yoram; Ben-Horin, Moshe - In: Journal of investment management : JOIM 19 (2021) 4, pp. 92-104

Persistent link: https://www.econbiz.de/10013164717

Aversion to a sure loss : turning investors into gamblers

Ferenčak, Miroslav; Dobromirov, Dušan; Radišić, Mladen - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 36 (2018) 2, pp. 537-557

Persistent link: https://www.econbiz.de/10012212693

Loss aversion in the laboratory

Morrison, William G.; Oxoby, Robert J. - 2014

We report the results of a laboratory experiment testing for the existence of loss aversion in a standard risk aversion … incentivized risk preference elicitation task. We find loss aversion, distinct from risk aversion, has a significant effect on …

Persistent link: https://www.econbiz.de/10010379927

Optimal hedge ratio under a subjective re-weighting of the original measure

Barbi, Massimiliano; Romagnoli, Silvia - In: Applied economics 48 (2016) 13/15, pp. 1271-1280

Persistent link: https://www.econbiz.de/10011433130

Auctions under payoff uncertainty : the case with heterogeneous bidder-aversion to downside risk

Hu, Audrey Xianhua; Zou, Liang - 2008

This paper characterizes the optimal first-price auction (FPA) and second-price auction (SPA) for selling rights, contracts, or licenses that involve ensuing payoff uncertainty for the winning bidder. The distribution of the random payoff is common knowledge, except that bidders have private...

Persistent link: https://www.econbiz.de/10011374400