Downside Loss Aversion and Portfolio Growth
نویسندگان
چکیده
منابع مشابه
Downside Loss Aversion and Portfolio Management
Downside loss averse preferences have seen a resurgence in the portfolio management literature. This is due to the increasing usage of derivatives in managing equity portfolios, and the increased usage of quantitative techniques for bond portfolio management. We employ the lower partial moment as a risk measure for downside loss aversion, and compare mean-variance (M-V) and mean-lower partial m...
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This paper investigates continuous-time optimal portfolio and consumption problems under loss aversion in an infinite horizon. The investor’s goal is to choose optimal portfolio and consumption policies to maximize total discounted S-shaped utility from consumption. The consumption rate process is subject to a downside constraint. The optimal consumption and portfolio policies are obtained thro...
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Traditionally, downside risk aversion is the study of the placement of a pure risk (a secondary risk) on either the upside or the downside of a primary two-state risk. When the decision maker prefers to have the secondary risk placed on the upside rather than the downside of the primary lottery, he is said to display downside risk aversion. The literature on the intensity of downside risk avers...
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ژورنال
عنوان ژورنال: Journal of Finance and Bank Management
سال: 2015
ISSN: 2333-6064,2333-6072
DOI: 10.15640/jfbm.v3n1a4