Optimal portfolio choice for an insurer with loss aversion

2014 ◽  
Vol 58 ◽  
pp. 217-222 ◽  
Author(s):  
Wenjing Guo
Keyword(s):  
Portfolio Choice ◽  
Loss Aversion ◽  
Optimal Portfolio

OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY

2018 ◽  
Vol 21 (03) ◽  
pp. 1850013 ◽  
Author(s):  
CAROLE BERNARD ◽  
STEVEN VANDUFFEL ◽  
JIANG YE
Keyword(s):  
Portfolio Choice ◽  
Expected Utility ◽  
Loss Aversion ◽  
Reference Point ◽  
Joint Distribution ◽  
Optimal Portfolio ◽  
Characterization Result ◽  
Terminal Wealth ◽  
Utility Maximizer ◽  
State Dependent

We derive the optimal portfolio for an expected utility maximizer whose utility does not only depend on terminal wealth but also on some random benchmark (state-dependent utility). We then apply this result to obtain the optimal portfolio of a loss-averse investor with a random reference point (extending a result of Berkelaar et al. (2004) Optimal portfolio choice under loss aversion, The Review of Economics and Statistics 86 (4), 973–987). Clearly, the optimal portfolio has some joint distribution with the benchmark and we show that it is the cheapest possible in having this distribution. This characterization result allows us to infer the state-dependent utility function that explains the demand for a given (joint) distribution.

scholarly journals Optimal Portfolio Choice under Loss Aversion

2004 ◽  
Vol 86 (4) ◽  
pp. 973-987 ◽  
Author(s):  
Arjan B. Berkelaar ◽  
Roy Kouwenberg ◽  
Thierry Post
Keyword(s):  
Portfolio Choice ◽  
Loss Aversion ◽  
Optimal Portfolio

scholarly journals Optimal Portfolio Choice Under Loss Aversion

2000 ◽  
Author(s):  
Arjan B. Berkelaar ◽  
Roy R.P. Kouwenberg ◽  
Thierry Post
Keyword(s):  
Portfolio Choice ◽  
Loss Aversion ◽  
Optimal Portfolio

Estimation Risk and Optimal Portfolio Choice.

1981 ◽  
Vol 36 (1) ◽  
pp. 202
Author(s):  
Larry J. Merville ◽  
Vijay S. Bawa ◽  
Stephen J. Brown ◽  
Roger W. Klein
Keyword(s):  
Portfolio Choice ◽  
Optimal Portfolio ◽  
Estimation Risk
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