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      <record key="001" att1="001" value="181622" att2="181622">001   181622</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Forschungsbericht</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/eco/es-257.pdf</field>
      <field key="079" subkey="z">Fortin, Ines - et at., Optimal Asset Allocation Under Linear Loss Aversion (pdf)</field>
      <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/257.html</field>
      <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 257 (RePEc)</field>
      <field key="100" subkey="">Fortin, Ines</field>
      <field key="103" subkey="">Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria</field>
      <field key="104" subkey="a">Hlouskova, Jaroslava</field>
      <field key="107" subkey="">Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria, and School of Business and Economics,</field>
      <field key="Tho" subkey="m">pson Rivers University, British Columbia, Canada</field>
      <field key="331" subkey="">Optimal Asset Allocation Under Linear Loss Aversion</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Wien</field>
      <field key="412" subkey="">Institut für Höhere Studien</field>
      <field key="425" subkey="">2010, September</field>
      <field key="433" subkey="">41 pp.</field>
      <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 257</field>
      <field key="451" subkey="h">Kunst, Robert M. (Ed.) ; Fisher, Walter (Assoc. Ed.) ; Ritzberger, Klaus (Assoc. Ed.)</field>
      <field key="461" subkey="">Economics Series</field>
      <field key="517" subkey="c">from the Table of Contents: Introduction; Portfolio optimization under linear loss aversion; Simulation study assuming different</field>
      <field key="str" subkey="u">ctures and degrees of dependence; Empirical application; Conclusion; Appendices; References;</field>
      <field key="542" subkey="">1605-7996</field>
      <field key="544" subkey="">IHSES 257</field>
      <field key="700" subkey="">G11</field>
      <field key="700" subkey="">G15</field>
      <field key="700" subkey="">G24</field>
      <field key="720" subkey="">Loss aversion</field>
      <field key="720" subkey="">Portfolio optimization</field>
      <field key="720" subkey="">MV and CVaR portfolios</field>
      <field key="720" subkey="">Copula</field>
      <field key="720" subkey="">Investment strategy</field>
      <field key="753" subkey="">Abstract: Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We</field>
      <field key="stu" subkey="d">y the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more traditional</field>
      <field key="opt" subkey="i">mal mean-variance (MV) and conditional value-at-risk (CVaR) portfolios. First we derive conditions under which the LA problem</field>
      <field key="is" subkey="e">quivalent to the MV and CVaR problems. Then we analytically solve the twoasset problem, where one asset is risk-free,</field>
      <field key="ass" subkey="u">ming binomial or normal asset returns. In addition we run simulation experiments to study LA investment under more realistic</field>
      <field key="ass" subkey="u">mptions. In particular, we investigate the impact of different dependence structures, which can be of symmetric (Gaussian</field>
      <field key="cop" subkey="u">la) or asymmetric (Clayton copula) type. Finally, using 13 EU and US assets, we implement the trading strategy of an LA</field>
      <field key="inv" subkey="e">stor assuming assets are reallocated on a monthly basis and find that LA portfolios clearly outperform MV and CVaR portfolios</field>
      <unknown>.;</unknown>
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