• Home
• About
• Browse
  • Browse by Year
  • Browse by Academic Unit
  • Browse by Author
• Register
• eTheses
• Statistics
• MU Library
• Repository Policies
• Cite from MURAL
• MURAL Libguide
• Login

Loss aversion, large deviation preferences and optimal portfolio weights for some classes of return processes

Share and Export

Share and Export

Share and Export

ASCII Citation Atom BibTeX Dublin Core EP3 XML EP3 XML with Files Embedded EndNote Grid (abstract) HTML Citation METS MODS MPEG-21 DIDL Multiline CSV Multiline CSV (Staff) OpenURL ContextObject OpenURL ContextObject in Span RDF+N-Triples RDF+N3 RDF+XML Refer Reference Manager Simple Metadata JSON

Duffy, Ken R., Lobunets, Olena and Suhov, Yuri (2007) Loss aversion, large deviation preferences and optimal portfolio weights for some classes of return processes. Physica A: Statistical Mechanics and its Applications, 378 (2). pp. 408-422. ISSN 0378-4371

PDF
HamiltonLossAversion.pdf
Download (297kB)

Official URL: http://www.sciencedirect.com/science?_ob=MImg&_ima...

Abstract

We propose a model of a loss averse investor who aims to maximize his expected wealth under certain constraints. The constraints are that he avoids, with high probability, incurring a (suitably dened) unacceptable loss. The methodology employed comes from the theory of large deviations. We explore a number of fundamental properties of the model and illustrate its desirable features. We demonstrate its utility by analyzing assets that follow some commonly used nancial return processes: Fractional Brownian Motion, Jump Diusion, Variance Gamma and Truncated Lévy.

Item Type:	Article
Keywords:	Portfolio selection; Loss averse investors; Large deviations approach; Hamilton Institute.
Academic Unit:	Faculty of Science and Engineering > Experimental Physics Faculty of Science and Engineering > Research Institutes > Hamilton Institute Faculty of Science and Engineering > Mathematics and Statistics
Item ID:	1719
Identification Number:	10.1016/j.physa.2006.11.079
Depositing User:	Hamilton Editor
Date Deposited:	07 Dec 2009 12:04
Journal or Publication Title:	Physica A: Statistical Mechanics and its Applications
Publisher:	Elsevier BV, North-Holland
Refereed:	Yes
Related URLs:	Publisher
URI:	https://mu.eprints-hosting.org/id/eprint/1719
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

Repository Staff Only (login required)

Item control page

Downloads

Downloads per month over past year

Origin of downloads

Altmetric

Altmetric

Altmetric