Portfolio choice in personal equilibrium

Jing Ai, Lin Zhao () and Wei Zhu

Economics Letters, 2018, vol. 170, issue C, 163-167

Abstract: This paper finds that in portfolio choice where reference point arises endogenously in personal equilibria, investors behave as if they had a concave probability weighting function. This finding establishes a link between the reference-dependent utility and the rank-dependent utility theories.

Keywords: Loss aversion; Personal equilibrium; Portfolio choice; Rank-dependent utility (search for similar items in EconPapers)
JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518302416
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:170:y:2018:i:c:p:163-167

DOI: 10.1016/j.econlet.2018.06.018

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().