Performance measurement with loss aversion
نویسندگان
چکیده
منابع مشابه
Asset Pricing with Loss Aversion∗
Using standard preferences for asset pricing has not been very successful in matching asset price characteristics such as the risk-free interest rate, equity premium and the Sharpe ratio to time series data. Behavioral finance has recently proposed more realistic preferences such as those with loss aversion. Research is starting to explore the implications of behaviorally founded preferences fo...
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A body of qualitative evidence shows that loss aversion, a phenomenon formalized in prospect theory, can explain a variety of field and experimental data. Quantifications of loss aversion are, however, hindered by the absence of a general preference-based method to elicit the utility for gains and losses simultaneously. This paper proposes such a method and uses it to measure loss aversion in a...
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This paper analyzes, for S-shaped value functions, the relations between loss aversion and perceptionally risk aversion (i.e. computed with the perceived probability weights) in Cumulative Prospect Theory . We show that perceptionally risk aversion for mixed sign lotteries is equivalent to weak (or strong) loss aversion, so this is the right assumption to get a sensible behavior towards risk. T...
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The Rubinstein alternating offers bargaining game is reconsidered under the assumption that each player is loss averse and the associated reference point is equal to the highest turned down offer of the opponent in the past. This makes the payoffs and therefore potential equilibrium strategies dependent on the history of play. A subgame perfect equilibrium is constructed, in which the strategie...
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ژورنال
عنوان ژورنال: Journal of Asset Management
سال: 2006
ISSN: 1470-8272,1479-179X
DOI: 10.1057/palgrave.jam.2240213