Loss-Aversion with Kinked Linear Utility Functions
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DOI: 10.1007/s10614-013-9391-x
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- Fulga, Cristinca, 2016. "Portfolio optimization under loss aversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 310-322.
- Fortin, Ines & Hlouskova, Jaroslava, 2011.
"Optimal asset allocation under linear loss aversion,"
Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2974-2990, November.
- Fortin, Ines & Hlouskova, Jaroslava, 2010. "Optimal Asset Allocation Under Linear Loss Aversion," Economics Series 257, Institute for Advanced Studies.
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Keywords
Prospect theory; Kinked linear utility; Portfolio optimization; Linear programming;All these keywords.
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