Portfolio choice in personal equilibrium

被引：0
|
作者：
Ai, Jing [1 ]
Zhao, Lin [2 ]
Zhu, Wei [3 ]
机构：
[1] Univ Hawaii Manoa, Shidler Coll Business, 2404 Maile Way, Honolulu, HI 96822 USA
[2] Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China
[3] Univ Int Business & Econ, Sch Insurance & Econ, Beijing 100029, Peoples R China
来源：
ECONOMICS LETTERS | 2018年 / 170卷
基金：
美国国家科学基金会;
关键词：
Loss aversion; Personal equilibrium; Portfolio choice; Rank-dependent utility; LOSS AVERSION; RISK; UTILITY;
D O I：
10.1016/j.econlet.2018.06.018
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper finds that in portfolio choice where reference point arises endogenously in personal equilibria, investors behave as if they had a concave probability weighting function. This finding establishes a link between the reference-dependent utility and the rank-dependent utility theories. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：163 / 167
页数：5
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