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- W3123313368 abstract "In this paper, dynamic option-based investment strategies are derived and illustrated for investors exhibiting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock" @default.
- W3123313368 created "2021-02-01" @default.
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- W3123313368 date "2007-01-01" @default.
- W3123313368 modified "2023-09-26" @default.
- W3123313368 title "Dynamic Option-Based Strategies under Downside Loss Averse Preferences" @default.
- W3123313368 hasPublicationYear "2007" @default.
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