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

Physica A: Statistical Mechanics and its Applications

Volumn 378, Issue 2, 2007, Pages 408-422

  Duffy, Ken ^a   Lobunets, Olena ^b   Suhov, Yuri ^c  

^a NATIONAL UNIVERSITY OF IRELAND   (Ireland)

^b UNIVERSITY OF ESSEX   (United Kingdom)

^c UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Large deviations approach; Loss averse investors; Portfolio selection

Indexed keywords

BROWNIAN MOVEMENT; COMPUTATIONAL COMPLEXITY; CONSTRAINT THEORY; PROBABILISTIC LOGICS; TELECOMMUNICATION NETWORKS;

LARGE DEVIATIONS APPROACH; LOSS AVERSE INVESTORS; PORTFOLIO SELECTION;

STATISTICAL MECHANICS;

EID: 33847646828     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.11.079     Document Type: Article

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