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- W2034157266 abstract "We study an exchange economy in which investors are loss averse over relative consumption, that is, they suffer a utility loss if they consume less than members of their reference group. As a consequence there is an incentive to hold the same portfolio of risky assets as the reference group. Thus, risk premia can be supported in equilibrium that diverge from the risk premia obtained without loss aversion over relative consumption. This effect may be used to explain time-varying risk premia that are empirically observed for many assets." @default.
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- W2034157266 date "2011-09-01" @default.
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- W2034157266 title "Investment decisions with loss aversion over relative consumption" @default.
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- W2034157266 doi "https://doi.org/10.1016/j.jebo.2011.02.011" @default.
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