Loss Aversion with a State-Dependent Reference Point
研究了参照点随机且依赖状态时的参照依赖选择，发现完全内生的参照点会消除损失厌恶，因此实际参照点通常包含外生固定成分。基于调整成本构建模型，用美国投资基准数据解释了债券与股票的分散化现象。
This study investigates reference-dependent choice with a stochastic, state-dependent reference point. The optimal reference-dependent solution equals the optimal consumption solution (no loss aversion) if the reference point is selected fully endogenously. Given that loss aversion is widespread, we conclude that the reference point generally includes an important exogenously fixed component. We develop a choice model in which adjustment costs can cause stickiness relative to an initial, exogenous reference point. Using historical U.S. investment benchmark data, we show that this model is consistent with diversification across bonds and stocks for a wide range of evaluation horizons, despite the historically high-risk premium of stocks compared to bonds. This paper was accepted by Peter Wakker, decision analysis.