Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Myopic Loss Aversion and the Equity Premium Puzzle - MaRDI portal

Myopic Loss Aversion and the Equity Premium Puzzle

From MaRDI portal
Publication:4834704

DOI10.2307/2118511zbMath0829.90040OpenAlexW1977145788WikidataQ55869316 ScholiaQ55869316MaRDI QIDQ4834704

Shlomo Benartzi, Richard H. Thaler

Publication date: 1 June 1995

Published in: The Quarterly Journal of Economics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w4369.pdf



Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (only showing first 100 items - show all)

Risk preferences of Australian academics: where retirement funds are invested tells the storyOptimal saving rules for loss-averse agents under uncertaintyOn the robustness of portfolio allocation under copula misspecificationIntertemporal preference with loss aversion: consumption and risk-attitudeBargaining, reference points, and limited influenceIndividual-level loss aversion in riskless and risky choicesAsset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation riskIdiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatilityProbability weighting, stop-loss and the disposition effectThe ostrich effect: Selective attention to informationOptimal reinsurance and investment strategy with two piece utility functionAsset pricing with loss aversionA parametric analysis of prospect theory's functionals for the general populationPortfolio optimization under loss aversionA tail measure with variable risk tolerance: application in dynamic portfolio insurance strategyModeling customer bounded rationality in operations management: a review and research opportunitiesAspirations as reference points: an experimental investigation of risk behavior over timeEquilibrium asset pricing with Epstein-Zin and loss-averse investorsDiscrete-time behavioral portfolio selection under cumulative prospect theoryPortfolio selection with consumption ratchetingThe loss-averse newsvendor problem with random supply capacityExistence of Arrow-Debreu equilibrium with S-shaped utility functionUtility maximization with a given pricing measure when the utility is not necessarily concaveGoal-based portfolio choice model with discounted preferenceAsymmetric extreme tails and prospective utility of momentum returnsShould I stay or should I go? An agent-based setup for a trading and monetary unionA prospect-theoretical interpretation of momentum returnsStatic portfolio choice under cumulative prospect theoryLoss aversionOn lottery sales, jackpot sizes and irrationality: a cautionary noteFinancial market equilibria with cumulative prospect theoryLoss aversion, survival and asset pricesIs it myopia or loss aversion? A study on investment game experimentsConsumption paths under prospect utility in an optimal growth modelLoss aversion with multiple investment goalsMulti-stock portfolio optimization under prospect theoryHierarchical Bayesian parameter estimation for cumulative prospect theoryDo financial professionals behave according to prospect theory? An experimental studyBehavioral portfolio selection with loss controlNegative recency, randomization device choice, and reduction of compound lotteriesIntroduction to financial economicsProspect theory and market qualitySegregation and integration: a study of the behaviors of investors with extended value functionsCoping with loss aversion in the newsvendor modelUtilities bounded belowA decision-theoretic model of asset-price underreaction and overreaction to dividend newsWhy does myopia decrease the willingness to invest? Is it myopic loss aversion or myopic loss probability aversion?The bipolar Choquet integral representationConservative traders, natural selection and market efficiencyProspect and Markowitz stochastic dominanceRobust portfolio optimization with a generalized expected utility model under ambiguityOptimal consumption and portfolio selection problems under loss aversion with downside consumption constraintsEnglish versus Vickrey auctions with loss-averse biddersRisk aversion and expected-utility theory: a calibration exerciseA tractable method to measure utility and loss aversion under prospect theoryMyopic risk-seeking: The impact of narrow decision bracketing on lottery playRobust optimization for the loss-averse newsvendor problemIs there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzleDivergent risk-attitudes and endogenous collateral constraintsScenario optimization asset and liability modelling for individual investorsStochastic maximum principle on a continuous-time behavioral portfolio modelOn loss aversion, level-1 reasoning, and bettingOn probabilities and loss aversionExpected utility theory and prospect theory: One wedding and a decent funeralProspect theory and liquidation decisionsOperational asymptotic stochastic dominanceLoss aversion and perceptual risk aversionAn experimental examination of the house money effect in a multi-period settingAn index of loss aversionForegone with the wind: Indirect payoff information and its implications for choiceGoal bracketing and self-controlDiversification with options and structured productsOptimal portfolio choice for an insurer with loss aversionBehavioral heterogeneity in dynamic search situations: theory and experimental evidenceStochastic maximum principle under probability distortionA quantum-probabilistic paradigm: non-consequential reasoning and state dependence in investment choiceThree-echelon supply chain contractual coordination with loss-averse multiple retailer preferenceA new preference model that allows for narrow framingFearing the worst: the importance of uncertainty for inequalityHow does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio tradersDynamic consumption and portfolio choice under prospect theoryLoss aversion in a multi-period modelCertainty-based marking on multiple-choice items: psychometrics meets decision theoryA hybrid simulation/optimisation scenario model for asset/liability managementBehavior in rationing inventory across retail channelsThe participation puzzle with reference-dependent expected utility preferencesThe expo-power value function as a candidate for the work-horse specification in parametric versions of cumulative prospect theoryOptimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversionA model of trustA framework algorithm to compute optimal asset allocation for retirement with behavioral utilitiesEffective return, risk aversion and drawdownsDiscrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaROptimal management of DC pension fund under the relative performance ratio and VaR constraintExpected return -- expected loss approach to optimal portfolio investmentTesting prospect theories using probability tradeoff consistencyWhat is loss aversion?The value of a statistical life and the coefficient of relative risk aversionLoss averse behaviorGeneral linear formulations of stochastic dominance criteriaLearning direction theory and the winner's curse




This page was built for publication: Myopic Loss Aversion and the Equity Premium Puzzle