Loss-averse preferences and portfolio choices: an extension

DOI10.1016/j.ejor.2015.08.019zbMath1346.91080OpenAlexW1201844663MaRDI QIDQ320908

Anna Maria Fiori, Emanuela Rosazza Gianin, Louis R. Eeckhoudt

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.08.019

zbMATH Keywords

uncertainty modellingdecision analysisstochastic dominanceutility theoryrisk management

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Related Items (8)

Portfolio choice in the model of expected utility with a safety-first component ⋮ A model for the optimal selection of lenders ⋮ Risk analysis and decision theory: a bridge ⋮ Higher-degree stochastic dominance optimality and efficiency ⋮ Optimal investment under ambiguous technology shocks ⋮ Portfolio allocation problems between risky and ambiguous assets ⋮ Risk aversion, downside risk aversion, and the transition to entrepreneurship ⋮ The participation puzzle with reference-dependent expected utility preferences

Cites Work

• Stochastic orders
• Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
• The values of relative risk aversion and prudence: a context-free interpretation
• Expected utility without utility
• New results on the relationship among risk aversion, prudence and temperance
• Increasing outer risk
• Coherent Measures of Risk
• Downside Loss Aversion and Portfolio Management
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Prospect Theory: An Analysis of Decision under Risk
• Stochastic finance. An introduction in discrete time
• Unnamed Item

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