Loss‐averse preferences and portfolio ...
Document type :
Compte-rendu et recension critique d'ouvrage
Title :
Loss‐averse preferences and portfolio choices: An extension
Author(s) :
Eeckhoudt, Louis [Auteur]
Lille économie management - UMR 9221 [LEM]
Fiori, Anna Maria [Auteur]
Gianin, Emanuela Rosazza [Auteur]
Lille économie management - UMR 9221 [LEM]
Fiori, Anna Maria [Auteur]
Gianin, Emanuela Rosazza [Auteur]
Journal title :
European Journal of Operational Research
Pages :
224--230
Publisher :
Elsevier
Publication date :
2016-02
ISSN :
0377-2217
English keyword(s) :
Consumers' preferences
Extensions
Risk assessment
Uncertainty (Information theory)
Utility theory
Stochastic dominance
Extensions
Risk assessment
Uncertainty (Information theory)
Utility theory
Stochastic dominance
HAL domain(s) :
Économie et finance quantitative [q-fin]
Sciences de l'Homme et Société/Gestion et management
Sciences de l'Homme et Société/Gestion et management
English abstract : [en]
In this paper we generalise existing models of loss‐averse preferences. This extension clarifies the impact of stochastic changes in risk on the optimal degree of risk taking. Our more general model highlights an intuitive ...
Show more >In this paper we generalise existing models of loss‐averse preferences. This extension clarifies the impact of stochastic changes in risk on the optimal degree of risk taking. Our more general model highlights an intuitive link between the literature on loss‐averse behaviours and the notions of prudence and temperance recently introduced in the literature. We also stress the link between our approach and the use of VaR and CVaR as risk measures.Show less >
Show more >In this paper we generalise existing models of loss‐averse preferences. This extension clarifies the impact of stochastic changes in risk on the optimal degree of risk taking. Our more general model highlights an intuitive link between the literature on loss‐averse behaviours and the notions of prudence and temperance recently introduced in the literature. We also stress the link between our approach and the use of VaR and CVaR as risk measures.Show less >
Language :
Anglais
Popular science :
Non
Collections :
Source :