Optimal asset allocation under linear loss aversion

Fortin, Ines and Hlouskova, Jaroslava (2011) Optimal asset allocation under linear loss aversion. Journal of Banking & Finance, 35 (11). pp. 2974-2990.

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Item Type: Article in Academic Journal
Keywords: Loss aversion, Prospect theory, Portfolio optimization, MV/CVaR portfolios, Copula, Investment strategy
Classification Codes (e.g. JEL): D03, D81, G11, G15, G24
Status: Published
Date Deposited: 13 May 2015 08:43
Last Modified: 01 Apr 2016 14:19
URI: http://irihs.ihs.ac.at/id/eprint/3358

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