Loss‐averse preferences and portfolio choices: An extension - Archive ouverte HAL
Article Dans Une Revue European Journal of Operational Research Année : 2016

Loss‐averse preferences and portfolio choices: An extension

Louis Eeckhoudt
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Anna Maria Fiori
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Emanuela Rosazza Gianin
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Résumé

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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Dates et versions

hal-01667394 , version 1 (19-12-2017)

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Citer

Louis Eeckhoudt, Anna Maria Fiori, Emanuela Rosazza Gianin. Loss‐averse preferences and portfolio choices: An extension. European Journal of Operational Research, 2016, 249 (1), pp.224--230. ⟨10.1016/j.ejor.2015.08.019⟩. ⟨hal-01667394⟩
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