Optimal asset allocation under linear loss aversion

Fortin, InesORCID: https://orcid.org/0000-0003-4517-455X and Hlouskova, JaroslavaORCID: https://orcid.org/0000-0002-2298-0068 (2011) Optimal asset allocation under linear loss aversion. Journal of Banking & Finance, 35 (11), pp. 2974-2990. https://doi.org/10.1016/j.jbankfin.2011.03.023

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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
Former Research Units:	Divisions > All Research Groups > Old Former Research Groups > Former Departments (until 2015) > Department of Economics and Finance > Applied Economics and Finance Divisions > All Research Groups > Old Former Research Groups > Former Departments (until 2015) > Department of Economics and Finance > Applied Economics and Finance > Business Cycles, Financial Markets & European Integration, Applied Research
Date Deposited:	13 May 2015 08:43
Last Modified:	11 Feb 2025 03:45
DOI:	10.1016/j.jbankfin.2011.03.023
ISSN:	0378-4266 (print), 1872-6372 (online)
URI:	https://irihs.ihs.ac.at/id/eprint/3358

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