Mattos, Fabio; Garcia, Philip; Pennings, Joost M.E. - In: Journal of Financial Markets 11 (2008) 4, pp. 433-452
We analyze how the introduction of probability weighting and loss aversion in a futures hedging model affects decision making. Analytical findings indicate that probability weighting alone always affects optimal hedge ratios, while loss and risk aversion only have an impact when probability...