Optimal Portfolio Choice under Loss Aversion
نویسندگان
چکیده
منابع مشابه
Optimal portfolio choice for an insurer with loss aversion
The problem of optimal investment for an insurance company attracts more attention in recent years. In general, the investment decision maker of the insurance company is assumed to be rational and risk averse. This is inconsistent with non fully rational decision-making way in the real world. In this paper we investigate an optimal portfolio selection problem for the insurer. The investment dec...
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ژورنال
عنوان ژورنال: Review of Economics and Statistics
سال: 2004
ISSN: 0034-6535,1530-9142
DOI: 10.1162/0034653043125167