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      <record key="001" att1="001" value="186536" att2="186536">001   186536</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-291.pdf</field>
      <field key="079" subkey="z">Fortin, Ines - et al., Optimal Asset Allocation under Quadratic Loss Aversion (pdf)</field>
      <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/291.html</field>
      <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 291 (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, Kamloops, British Columbia, Canada</field>
      <field key="331" subkey="">Optimal Asset Allocation under Quadratic 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="">2012, September</field>
      <field key="433" subkey="">44 pp.</field>
      <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 291</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 quadratic loss aversion; Empirical application;</field>
      <field key="Con" subkey="c">lusion; Appendix; References;</field>
      <field key="542" subkey="">1605-7996</field>
      <field key="544" subkey="">IHSES 291</field>
      <field key="700" subkey="">D03</field>
      <field key="700" subkey="">D81</field>
      <field key="700" subkey="">G11</field>
      <field key="700" subkey="">G15</field>
      <field key="700" subkey="">G24</field>
      <field key="720" subkey="">Quadratic loss aversion</field>
      <field key="720" subkey="">Prospect theory</field>
      <field key="720" subkey="">Portfolio optimization</field>
      <field key="720" subkey="">MV and CVaR portfolios</field>
      <field key="720" subkey="">Investment strategy</field>
      <field key="753" subkey="">Abstract: We study the asset allocation of a quadratic loss-averse (QLA) investor and derive conditions under which the QLA</field>
      <field key="pro" subkey="b">lem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically</field>
      <field key="the" subkey="t">wo-asset problem of the QLA investor for a risk-free and a risky asset. We find that the optimal QLA investment in the risky</field>
      <field key="ass" subkey="e">t is finite, strictly positive and is minimal with respect to the reference point for a value strictly larger than the</field>
      <field key="ris" subkey="k">-free rate. Finally, we implement the trading strategy of a QLA investor who reallocates her portfolio on a monthly basis</field>
      <field key="usi" subkey="n">g 13 EU and US assets. We find that QLA portfolios (mostly) outperform MV and CVaR portfolios and that incorporating a</field>
      <field key="con" subkey="s">ervative dynamic update of the QLA parameters improves the performance of QLA portfolios. Compared with linear loss-averse</field>
      <field key="por" subkey="t">folios, QLA portfolios display significantly less risk but they also yield lower returns.;</field>
    </SEQUENTIAL>
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