Loss‐averse preferences and portfolio choices: An extension

Louis Eeckhoudt, Anna Maria Fiori and Emanuela Rosazza Gianin

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Abstract: In this paper we generalise existing models of loss‐averse preferences. This extension clarifies the impact of stochastic changes in risk on the optimal degree of risk taking. Our more general model highlights an intuitive link between the literature on loss‐averse behaviours and the notions of prudence and temperance recently introduced in the literature. We also stress the link between our approach and the use of VaR and CVaR as risk measures.

Keywords: Consumers' preferences; Extensions; Risk assessment; Uncertainty (Information theory); Utility theory; Stochastic dominance (search for similar items in EconPapers)
Date: 2016-02
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Citations: View citations in EconPapers (7)

Published in European Journal of Operational Research, 2016, 249 (1), pp.224--230. ⟨10.1016/j.ejor.2015.08.019⟩

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Journal Article: Loss-averse preferences and portfolio choices: An extension (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01667394

DOI: 10.1016/j.ejor.2015.08.019

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