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- W136752775 abstract "Recent research reveals that hedge fund returns exhibit a range of different, possibly non-linear pay-off patterns. It is difficult to qualify all these patterns simultaneously as being rational in a traditional framework for optimal financial decision making. In this paper we present a simple model based on loss aversion that can accommodate for all of these pay-off structures in one unifying framework. We provide evidence that loss-aversion is a likely assumption for management as well as investor preferences. Following the current empirical literature, we solve a static asset allocation problem that includes a nonlinear instrument. We show analytically that four different pay-off functions may be rationally optimal. The key parameter in determining which of these four to choose in a specific setting, is the financial planner's surplus. The notion of surplus connects hedge fund manager's incentive schemes with the idea of mental accounting as proposed in recent behavioral finance research." @default.
- W136752775 created "2016-06-24" @default.
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- W136752775 date "2002-01-01" @default.
- W136752775 modified "2023-09-24" @default.
- W136752775 title "Explaining Hedge Fund Investment Styles by Loss Aversion: A Rational Alternative" @default.
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- W136752775 doi "https://doi.org/10.2139/ssrn.302289" @default.
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