Loss aversion, habit formation and the term structures of equity and interest rates

DOI10.1016/J.JEDC.2015.02.009zbMath1401.91539OpenAlexW3124494756MaRDI QIDQ1657584

Giuliano Curatola

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.02.009

zbMATH Keywords

general equilibriumyield curvehabit formationloss-aversiondividend strips

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ⋮ Portfolio choice with illiquid asset for a loss-averse pension fund investor

Cites Work

• Financial market equilibria with cumulative prospect theory
• Consumption paths under prospect utility in an optimal growth model
• Asset Prices in an Exchange Economy with Habit Formation
• Prospect Theory: An Analysis of Decision under Risk
• Habit Formation and Aggregate Consumption

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