Portfolio Choice with Loss Aversion, Asymmetric Risk-Taking Behavior and Segregation of Riskless Opportunities
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- Jose Luiz Barros Fernandes & Juan Ignacio Pena & Benjamin Miranda Tabak, 2010.
"Behaviour finance and estimation risk in stochastic portfolio optimization,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 20(9), pages 719-738.
- José Luiz Barros Fernandes & Juan Ignacio Peña & Benjamin Miranda Tabak, 2009. "Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization," Working Papers Series 184, Central Bank of Brazil, Research Department.
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KeywordsDisposition e ect; house money e ect; prospect theory; portfolio choice;
- D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
- D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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