Loss-averse preferences and portfolio choices: An extension

被引：14
|
作者：
Eeckhoudt, Louis [1 ]
Fiori, Anna Maria [2 ]
Gianin, Emanuela Rosazza [3 ]
机构：
[1] IESEG Sch Management, F-59000 Lille, France
[2] IESEG Sch Management, Socle Grande Arche, F-92044 Paris, France
[3] Univ Milano Bicocca, Dipartimento Stat & Metodi Quantitat, I-20126 Milan, Italy
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2016年 / 249卷 / 01期
关键词：
Utility theory; Risk management; Decision analysis; Uncertainty modelling; Stochastic dominance; BELOW-TARGET RETURNS; STOCHASTIC-DOMINANCE; EXPECTED UTILITY; RISK; DECISION;
D O I：
10.1016/j.ejor.2015.08.019
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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. (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.
引用
收藏
页码：224 / 230
页数：7
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