Loss-averse preferences and portfolio choices: An extension
详细信息 查看全文
- 作者：Louis Eeckhoudta ; louis.eeckhoudt@fucam.ac.be" class="auth_mail" title="E-mail the corresponding author ; Anna Maria Fiori ; b ; a.fiori@ieseg.fr" class="auth_mail" title="E-mail the corresponding author ; Emanuela Rosazza Gianinc ; emanuela.rosazza1@unimib.it" class="auth_mail" title="E-mail the corresponding author
- 关键词：Utility theory ; Risk management ; Decision analysis ; Uncertainty modelling ; Stochastic dominance
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：16 February 2016
- 年：2016
- 卷：249
- 期：1
- 页码：224-230
- 全文大小：338 K
文摘
- •
Downside loss-averse preferences are integrated into the expected utility model.
- •
Unequivocal predictions for the impact of changes in risk on risk taking are derived.
- •
A link between prudence, higher-order risk attitudes and loss-aversion emerges.
- •
Loss-averse behaviours are consistent with VaR and CVaR as risk measures.