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Optimal asset allocation under linear loss aversion
16 references·2 citing·30 second hop
Optimal asset allocation under linear loss aversion (2011)Optimal asset allocation under linear los…Psychology and Economics: Evidence from the Field (2009)Psychology and Economics: Evi…Copula Methods in Finance (2004)Copula Methods in FinanceCorrelation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Optimization of conditional value-at-risk (2000)Optimization of conditional v…An Introduction to Copulas (1999)An Introduction to CopulasAre Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…Myopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Theory of Financial Decision Making. (1988)Theory of Financial Decision …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Portfolio Selection (1952)Portfolio SelectionPortfolio selection with consumption ratcheting (2018)Portfolio selection with cons…Portfolio optimization under loss aversion (2015)Portfolio optimization under …Status quo bias in decision making (1988)Do Investors Trade Too Much? (1999)Familiarity Breeds Investment (2001)Investor Psychology and Asset Pricing (2001)Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Risk, Ambiguity, and the Savage Axioms (1961)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Toward a positive theory of consumer choice (1980)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1952Portfolio Selection4,609 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 2009Psychology and Economics: Evidence from the Field2,406 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited

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Cited by

  • 2015Portfolio optimization under loss aversion39 cited
  • 2018Portfolio selection with consumption ratcheting38 cited