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Loss-averse preferences and portfolio choices: An extension

Listed author(s):
  • Eeckhoudt, Louis
  • Fiori, Anna Maria
  • Rosazza Gianin, Emanuela

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S0377221715007560
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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 249 (2016)
Issue (Month): 1 ()
Pages: 224-230

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Handle: RePEc:eee:ejores:v:249:y:2016:i:1:p:224-230
DOI: 10.1016/j.ejor.2015.08.019
Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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