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Portfolio optimization under loss aversion
16 references·1 citing·27 second hop
Portfolio optimization under loss aversion (2015)Portfolio optimization under loss aversionOn the coherence of expected shortfall (2002)On the coherence of expected …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Risk Aversion and Expected-utility Theory: A Calibration Theorem (2000)Risk Aversion and Expected-ut…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk (2000)Developments in Non-Expected …Coherent Measures of Risk (1999)Coherent Measures of RiskMyopic 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: …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Safety First and the Holding of Assets (1952)Safety First and the Holding …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Theory of Games and Economic Behaviour. (1946)Theory of Games and Economic …Optimization of blockchain investment portfolio under artificial bee colony algorithm (2020)Optimization of blockchain in…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)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)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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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
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 2000Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk1,902 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited
  • 2000Risk Aversion and Expected-utility Theory: A Calibration Theorem1,623 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1946Theory of Games and Economic Behaviour.

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  • 2020Optimization of blockchain investment portfolio under artificial bee colony algorithm35 cited