Matches in SemOpenAlex for { <https://semopenalex.org/work/W1551036670> ?p ?o ?g. }
Showing items 1 to 83 of
83
with 100 items per page.
- W1551036670 abstract "This paper analyses the optimal investment strategy for loss averse investors, assuming a complete market and general Ito processes for the asset prices. The loss averse investor follows a partial portfolio insurance strategy. When the planning horizon of the investor is short, i.e. less than 5 years, he or she considerably reduces the initial portfolio weight of stocks compared to an investor with smooth power utility. Consistent with popular investment advice, the initial portfolio weight of stocks of a loss averse investor typically increases with the investment horizon. The empirical section of the paper estimates the level of loss aversion implied by historical US stock market data, using a representative agent model. We find that loss aversion and risk aversion cannot be disentangled and provide a similar fit to the data." @default.
- W1551036670 created "2016-06-24" @default.
- W1551036670 creator A5025006075 @default.
- W1551036670 creator A5047044521 @default.
- W1551036670 creator A5066770755 @default.
- W1551036670 date "2000-01-01" @default.
- W1551036670 modified "2023-09-25" @default.
- W1551036670 title "Optimal Portfolio Choice Under Loss Aversion" @default.
- W1551036670 cites W1963901383 @default.
- W1551036670 cites W2006776755 @default.
- W1551036670 cites W2037745646 @default.
- W1551036670 cites W2042775870 @default.
- W1551036670 cites W2054141803 @default.
- W1551036670 cites W2089583970 @default.
- W1551036670 cites W2090220594 @default.
- W1551036670 cites W2112408160 @default.
- W1551036670 cites W2124268885 @default.
- W1551036670 cites W2127422867 @default.
- W1551036670 cites W2170415678 @default.
- W1551036670 cites W2570834760 @default.
- W1551036670 cites W3011865677 @default.
- W1551036670 cites W3023376117 @default.
- W1551036670 cites W3121252329 @default.
- W1551036670 cites W3121547422 @default.
- W1551036670 cites W3122033083 @default.
- W1551036670 cites W3123552065 @default.
- W1551036670 cites W3123957507 @default.
- W1551036670 cites W3123994138 @default.
- W1551036670 cites W3124203466 @default.
- W1551036670 cites W4205687075 @default.
- W1551036670 cites W4231433508 @default.
- W1551036670 doi "https://doi.org/10.2139/ssrn.214569" @default.
- W1551036670 hasPublicationYear "2000" @default.
- W1551036670 type Work @default.
- W1551036670 sameAs 1551036670 @default.
- W1551036670 citedByCount "37" @default.
- W1551036670 countsByYear W15510366702012 @default.
- W1551036670 countsByYear W15510366702013 @default.
- W1551036670 countsByYear W15510366702014 @default.
- W1551036670 countsByYear W15510366702015 @default.
- W1551036670 countsByYear W15510366702016 @default.
- W1551036670 countsByYear W15510366702017 @default.
- W1551036670 countsByYear W15510366702018 @default.
- W1551036670 countsByYear W15510366702022 @default.
- W1551036670 crossrefType "journal-article" @default.
- W1551036670 hasAuthorship W1551036670A5025006075 @default.
- W1551036670 hasAuthorship W1551036670A5047044521 @default.
- W1551036670 hasAuthorship W1551036670A5066770755 @default.
- W1551036670 hasBestOaLocation W15510366702 @default.
- W1551036670 hasConcept C106159729 @default.
- W1551036670 hasConcept C129915516 @default.
- W1551036670 hasConcept C162118730 @default.
- W1551036670 hasConcept C162324750 @default.
- W1551036670 hasConcept C175444787 @default.
- W1551036670 hasConcept C205706631 @default.
- W1551036670 hasConcept C2778174566 @default.
- W1551036670 hasConcept C2780821815 @default.
- W1551036670 hasConceptScore W1551036670C106159729 @default.
- W1551036670 hasConceptScore W1551036670C129915516 @default.
- W1551036670 hasConceptScore W1551036670C162118730 @default.
- W1551036670 hasConceptScore W1551036670C162324750 @default.
- W1551036670 hasConceptScore W1551036670C175444787 @default.
- W1551036670 hasConceptScore W1551036670C205706631 @default.
- W1551036670 hasConceptScore W1551036670C2778174566 @default.
- W1551036670 hasConceptScore W1551036670C2780821815 @default.
- W1551036670 hasLocation W15510366701 @default.
- W1551036670 hasLocation W15510366702 @default.
- W1551036670 hasOpenAccess W1551036670 @default.
- W1551036670 hasPrimaryLocation W15510366701 @default.
- W1551036670 hasRelatedWork W1509841789 @default.
- W1551036670 hasRelatedWork W1598452310 @default.
- W1551036670 hasRelatedWork W2410278324 @default.
- W1551036670 hasRelatedWork W3124500215 @default.
- W1551036670 hasRelatedWork W3125411530 @default.
- W1551036670 hasRelatedWork W3139769242 @default.
- W1551036670 hasRelatedWork W3149094443 @default.
- W1551036670 hasRelatedWork W3189362373 @default.
- W1551036670 hasRelatedWork W4297141742 @default.
- W1551036670 hasRelatedWork W3095159091 @default.
- W1551036670 isParatext "false" @default.
- W1551036670 isRetracted "false" @default.
- W1551036670 magId "1551036670" @default.
- W1551036670 workType "article" @default.