Portfolio Choice and Trading Volume with Loss Averse Investors

By Francisco Gomes. 2005

273 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/31095efa34565a8324edd97eba56c1d458b7aca6

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Citations in the corpus

Loss-Aversion and Household Portfolio Choice (2010, unknown): “…papers such as Ang, Bekaert and Liu (2004), Barberis, Huang and Thaler (2006), Benartzi and Thaler (1995), Berkelaar, Kouwenberg and Post (2004), Gomes (2005), and Polkovnichenko (2005) show that loss-averse households will either not participate in equity markets, or they will allocate…”
What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation (2009, background): “Recently, Grinblatt and Han (2005) and Frazzini (2006) have argued that, if a sizeable segment of the investor population exhibits the disposition effect, this could leave an imprint on asset prices and, in particular, could generate momentum and a post-earnings announcement drift in stock returns.”
Does Prospect Theory Explain the Disposition Effect? (2011, unknown): “Gomes [ 2005 ] studies the two-period portfolio problem of investors with preferences that are related to but different from prospect theory.”
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2007, background): “…overwhelmingly limited to the single-period setting; see for example Benartzi and Thaler (1995), Shefrin and Statman (2000), Levy and Levy (2004), Bassett, Koenker, and Kordas (2004), Gomes (2005), and De Giorgi and Post (2005), with emphases on qualitative properties and empirical experiments.”
Prospect Theory and the Disposition Effect (2008, background): “Schlarbaum, Lewellen, and Lease (1978), Odean (1998)), institutional stock market investors (Grinblatt and Keloharju (2001)), stock market investors receiving brokerage advice (Shapira and Venezia (2001)), futures traders (Heisler (1994), Frino, Johnstone, and Zheng (2004), Locke and Mann (2005)), h”
Portfolio Choice Problems (2010, methodology): “These non-expected utility preferences have been applied to portfolio choice problems by Benartzi and Thaler (1995), Shefrin and Statman (2000), Aı̈t-Sahalia and Brandt (2001), Liu (2002b), Ang, Bekaert, and Liu (2003), and Gomes (2003), among others.”
Static portfolio choice under Cumulative Prospect Theory (2010, unknown): “Gomes [24] also studies the optimal portfolio choice of a loss-averse investor and shows that there exists a certain wealth level above which the investor follows a portfolio insurance rule.”
An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, background): “In particular, the reference point is endogenous and the preferences satisfy global concavity (this in fact by virtue of the endogenous reference point) thus avoiding the excessive risk-taking problem for loss aversion in the domain of losses as argued by Gomes (2005).”
A visual analytics approach to understanding cycling behaviour (2012, unknown): “The refinement algorithm identifies the cells of the interface (those with a VOF isovalue of 0.5) and then calculates the distance of all computational cells from the interface.”
What is Loss Aversion? (2005, background): “In recent years loss aversion has also frequently been applied in behavioral finance (cf. Barberis et al., 2001; Barberis and Huang, 2001; Berkelaar and Kouwenberg, 2000a, b; Roger, 2003; Gomes, 2003).”
Optimal Portfolio Choice under Loss Aversion (2000, unknown): “Following Barberis et al. (2001) and Gomes (2005), we will specify a dynamic updating rule for the reference point of a lossaverse investor and analyze its effect on optimal portfolio choice.”