Optimal Portfolio Choice under Loss Aversion

By Arjan Berkelaar, Roy Kouwenberg, Thierry Post. Review of Economics and Statistics, 2000

414 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ae5421d88408a071c8234c73402e3c2d4ffcffca

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Citations in the corpus

Loss-Aversion and Household Portfolio Choice (2010, neutral): “, Haliassos and Bertaut (1995) and Heaton and Lucas (1997)). Empirical studies have found equity market participation much lower than is implied by these models (Bertaut (1998), Haliassos and Bertaut (1995), and Vissing-Jorgensen (2002)).”
PORTFOLIO CHOICE VIA QUANTILES (2010, background): “It is a generally nonlinear, non-decreasing (so the distortion at least preserv the order of the probabilities) function withw(0) = 0 andw(1) = 1 (so there is no distortion on sure events).”
Does Prospect Theory Explain the Disposition Effect? (2011, neutral): “1 and RD ∈ [0, 1].”
Static portfolio choice under Cumulative Prospect Theory (2010, neutral): “[6] (in a complete market but where no distortion is applied to the probabilities).”
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2007, neutral): “Then E[XY] = E[(X − h(0))Y] + h(0)EY ≤ E[h̄(Y)Y] + h(0)EY = E[h(Y)Y].”
The influence of risk perception, risk tolerance, overconfidence, and loss aversion towards investment decision making (2019, result): “…of this study are not in accordance with previous research which shows that loss aversion has a significant negative effect in making investment decisions on high-risk assets (Arano et al., 2010; Berkelaar et al., 2004) and encourage investment in lower risk assets (Dimmock & Kouwenberg, 2010).”
Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020, positive): “Such loss aversion leads to alterations in optimal portfolio choice (Berkelaar et al., 2004) and may prompt investors to seek out safe haven investments such as gold (Bredin et al.”
ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS (2015, positive): “Mathematical treatments rarely went beyond simple, one-step models (we only know of Berkelaar et al. [2004], Jin and Zhou [2008] and Carlier and Dana [2011] where multiperiod models are studied; in Berkelaar et al. [2004], however, no probability distortion is considered).”