We studied how the capital allocation decisions and the loss version of nonprofessional investors change subject to … the past performance and the portfolio evaluation frequency affect investor behavior and prove myopic loss aversion holds … using standard VaR significance levels may be underestimating the loss aversion of individual investors …

-portfolio losses in currency investments we demonstrate that this dynamic loss aversion spans multiple frames of reference. Losses are … not compartmentalized; rather a loss in one currency may impact trading in another. We also show that while the impact of … a loss on subsequent trading decisions does linger, the affect declines sharply after a losing position is closed …

We explicitly derive and explore the optimal consumption and portfolio policies of a loss- averse individual who … without human capital. The welfare loss that this individual would suffer under the conventional CRRA consumption and …

We explicitly derive and explore the optimal consumption and portfolio policies of a loss-averse individual who … human capital. The welfare loss that this individual would suffer under the conventional CRRA consumption and portfolio …

losses separately, there was no method to measure loss aversion under ambiguity. Our method allows this and thereby it can … was concave for gains and convex for losses and there was substantial loss aversion. Both utility and loss aversion were …

This paper studies the wealth and pricing implications of loss aversion in the presence of arbitrageurs with Epstein …-Zin preferences. Loss aversion affects an investor's survival prospects mainly through its effect on the investor's portfolio holdings …. Loss-averse investors will be driven out of the market and do not affect long-run prices if their portfolio positions are …