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The as-is journal review process: Let authors own their ideas

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Author Info
Benno Torgler,
Sascha L. Schmidt
Bruno S. Frey

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Abstract

In this paper we present a two period model, where the agent's preferences are described by prospect theory as proposed by Kahneman and Tversky. We solve for the agent's portfolio decision. Our findings are that the changes in portfolio weights depend crucially on the reference point and the ratio between the reference point and the current wealth, and thus only indirectly on the performance of the risky asset. Our model explains why investor keep on holding, or even buy, loosing investments.

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Publisher Info
Paper provided by Institute for Empirical Research in Economics - IEW in its series IEW - Working Papers with number iewwp282.

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Date of creation: Apr 2006
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Handle: RePEc:zur:iewwpx:282

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Related research
Keywords: Disposition effect house money effect prospect theory port-folio choice

Other versions of this item:

Find related papers by JEL classification:
D00 - Microeconomics - - General - - - General
D60 - Microeconomics - - Welfare Economics - - - General
L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Recreation; Tourism

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Glenn Ellison, 2002. "The Slowdown of the Economics Publishing Process," Journal of Political Economy, University of Chicago Press, vol. 110(5), pages 947-993, October. [Downloadable!] (restricted)
    Other versions:
  2. Engers, Maxim & Gans, Joshua S, 1998. "Why Referees Are Not Paid (Enough)," American Economic Review, American Economic Association, vol. 88(5), pages 1341-49, December. [Downloadable!] (restricted)
  3. B Kogut & U Zander, 2003. "A memoir and reflection: knowledge and an evolutionary theory of the multinational firm 10 years later," Journal of International Business Studies, Palgrave Macmillan Journals, vol. 34(6), pages 505-515, November. [Downloadable!] (restricted)
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This page was last updated on 2008-8-28.

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