Portfolio performance evaluation with loss aversion

DOI10.1080/14697688.2011.620978zbMath1308.91153OpenAlexW2003639297MaRDI QIDQ5245027

Valeri I. Zakamouline

Publication date: 1 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.620978

zbMATH Keywords

decision theoryperformance evaluationrisk measuresbehavioural finance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Portfolio theory (91G10)

Related Items (7)

On the robustness of portfolio allocation under copula misspecification ⋮ Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework ⋮ Rao’s quadratic entropy and maximum diversification indexation ⋮ Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ Optimal strategies under omega ratio ⋮ Timing portfolio strategies with exponential Lévy processes ⋮ COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES

Cites Work

• First order versus second order risk aversion
• An axiomatization of cumulative prospect theory
• An index of loss aversion
• Prospect Theory and Asset Prices
• Prospect Theory: Much Ado About Nothing?
• Prospect Theory: An Analysis of Decision under Risk
• A Standard Measure of Risk and Risk-Value Models
• Myopic Loss Aversion and the Equity Premium Puzzle
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

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