Loss aversion, survival and asset prices

DOI10.1016/j.jet.2015.08.013zbMath1369.91058OpenAlexW3123363036MaRDI QIDQ893424

Liyan Yang, David A. Easley

Publication date: 19 November 2015

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2015.08.013

zbMATH Keywords

loss aversionEpstein-Zin preferencesasset pricesnarrow framingmarket selection

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (10)

Ambiguity aversion in the long run: ``to disagree, we must also agree ⋮ Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms ⋮ Equilibrium asset pricing with Epstein-Zin and loss-averse investors ⋮ `Nobody is perfect': asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors ⋮ Survival in speculative markets ⋮ Social contagion and the survival of diverse investment styles ⋮ Market selection and learning under model misspecification ⋮ A central limit theorem, loss aversion and multi-armed bandits ⋮ Survival with ambiguity ⋮ A new preference model that allows for narrow framing

Cites Work

• First order versus second order risk aversion
• Asset pricing with loss aversion
• Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity
• Advances in prospect theory: cumulative representation of uncertainty
• Evolution and market behavior
• Preferences with frames: A new utility specification that allows for the framing of risks
• Prospect theory and market quality
• Prospect Theory and Asset Prices
• Natural Selection in Financial Markets: Does It Work?
• If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
• Do Markets Favor Agents able to Make Accurate Predictions?
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Myopic Loss Aversion and the Equity Premium Puzzle
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral

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