Related Books
Language: en
Pages:
Pages:
Type: BOOK - Published: 2006 - Publisher:
This paper analyzes the optimal investment strategy for loss averse investors, assuming a complete market and general Ito processes for the asset prices. The lo
Language: en
Pages: 36
Pages: 36
Type: BOOK - Published: 2000 - Publisher:
Language: en
Pages:
Pages:
Type: BOOK - Published: 2016 - Publisher:
Language: en
Pages: 0
Pages: 0
Type: BOOK - Published: 2023 - Publisher:
In this paper, we investigate a novel multiperiod portfolio decision model for loss-averse investors with dynamically adapted reference points in a market with
Language: en
Pages: 47
Pages: 47
Type: BOOK - Published: 2017 - Publisher:
We explicitly derive and explore the optimal consumption and portfolio policies of a loss- averse individual who endogenously updates his reference level over t