Berkelaar, A., and R. Kouwenberg, 2001, Optimal portfolio choice under loss aversion, Working Paper. Home/Search Document Details and Download
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From Boom til Bust: How Loss Aversion Affects Asset Prices - Berkelaar, al. (2000) Self-citation (Berkelaar) (Correct)
....However, a complete economic analysis has been hampered by the odd shape of the value function: it does not possess the standard mathematical properties of concavity and di erentiability. Hence, traditional optimization methods can not be applied to solvetheinvestment problem. Recently however, Berkelaar Kouwenberg (2000) solved the investment problem of loss averse investors in complete markets. As might be expected, the results of Berkelaar Kouwenberg (2000) showthatloss averse agents prefer more risky assets if their wealth increases above the benchmark. Due to their risk seeking attitude towards losses, the ....
....properties of concavity and di erentiability. Hence, traditional optimization methods can not be applied to solvetheinvestment problem. Recently however, Berkelaar Kouwenberg (2000) solved the investment problem of loss averse investors in complete markets. As might be expected, the results of Berkelaar Kouwenberg (2000) showthatloss averse agents prefer more risky assets if their wealth increases above the benchmark. Due to their risk seeking attitude towards losses, the loss averse agents also increase their risky asset holdings if wealth drops below the benchmark. In this case the loss averse agents aim to ....
[Article contains additional citation context not shown here]
Berkelaar, A. & Kouwenberg, R. (2000), Optimal portfolio choice under loss aversion, Working paper, Econometric Institute Report EI2000-08/A, Erasmus University Rotterdam, The Netherlands.
From Boom til Bust: How Loss Aversion Affects Asset Prices - Berkelaar, Kouwenberg (2000) Self-citation (Berkelaar Kouwenberg) (Correct)
....However, a complete economic analysis has been hampered by the odd shape of the value function: it does not possess the standard mathematical properties of concavity and di erentiability. Hence, traditional optimization methods can not be applied to solve the investment problem. Recently however, Berkelaar Kouwenberg (2000) solved the investment problem of loss averse investors in complete markets. As might be expected, the results of Berkelaar Kouwenberg (2000) show that loss averse agents prefer more risky assets if their wealth increases above the benchmark. Due to their risk seeking attitude towards losses, ....
....of concavity and di erentiability. Hence, traditional optimization methods can not be applied to solve the investment problem. Recently however, Berkelaar Kouwenberg (2000) solved the investment problem of loss averse investors in complete markets. As might be expected, the results of Berkelaar Kouwenberg (2000) show that loss averse agents prefer more risky assets if their wealth increases above the benchmark. Due to their risk seeking attitude towards losses, the loss averse agents also increase their risky asset holdings if wealth drops below the benchmark. In this case the loss averse agents aim to ....
[Article contains additional citation context not shown here]
Berkelaar, A. & Kouwenberg, R. (2000), Optimal portfolio choice under loss aversion, Working paper, Econometric Institute Report EI2000-08/A, Erasmus University Rotterdam, The Netherlands.
Prospect Theory and Liquidation Decisions - Kyle, Ou-Yang, Xiong (2003) (Correct)
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Berkelaar, A., and R. Kouwenberg, 2001, Optimal portfolio choice under loss aversion, Working Paper.
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