Discrete-Time Financial Planning Models Under Loss-Averse Preferences
نویسندگان
چکیده
منابع مشابه
Discrete-Time Financial Planning Models Under Loss-Averse Preferences
We consider a dynamic asset allocation problem formulated as a mean-shortfall model in discrete time. A characterization of the solution is derived analytically under general distributional assumptions for serially independent risky returns. The solution displays risk taking under shortfall, as well as a specific form of time diversification. Also, for a representative stock-return distribution...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2005
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1040.0182