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Optimal asset allocation under linear loss aversion · Study

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ArticleOptimal asset allocation under linear loss aversion

Ines Fortin2011

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Articlegreen2011

Optimal asset allocation under linear loss aversion

Ines Fortin · Jaroslava Hlouskova

55 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Decision-Making and Behavioral Economics

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1992Advances in prospect theory: Cumulative representation of uncertainty 1999An Introduction to Copulas 1985Does the Stock Market Overreact?2000Optimization of conditional value-at-risk 1952Portfolio Selection 1998Are Investors Reluctant to Realize Their Losses?

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2018Portfolio selection with consumption ratcheting

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Details

Year2011

Typearticle

Published2011-04-15

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations55

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2011.03.023

openalex_workW2068616019

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