The Impact of Loss Aversion on Investment Choice
Our aim is to find how asset allocation decisions might vary with investors attitude about loss aversion. Based on the loss aversion theory, we modified the returns of the risky assets of the Meanvariance model, and set up an investors objective function. By the empirical research, we show that the investors feeling of loss aversion can have a potent effect on investment choice. Compared with a riskaverse investor, the investor who takes loss aversion into account will hold less risky assets. We also find that the degree of the investors feeling of loss aversion can have significant impact on investment choice. The higher the degree is, the less the investor would invest in the risky assets.
Loss Aversion Investment Choice Mean-variance Model
Jian Wei Gao Cheng Wang
Economic & Management School North China Electric Power University (Beijing) Beijing, China Economic & Management School Norm China Electric Power University (Beijing) Beijing, China
国际会议
西安
英文
1039-1041
2010-08-07（万方平台首次上网日期，不代表论文的发表时间）