Optimal Portfolio Choice under Loss Aversion
分析了损失厌恶投资者的最优投资策略，发现短期投资者会大幅降低股票初始权重，并利用美国历史数据估计损失厌恶水平，但无法区分损失厌恶与风险厌恶。
This paper analyzes the optimal investment strategy for loss averse investors, assuming a complete market and general Ito processes for the asset prices. The loss-averse investor follows a partial portfolio insurance strategy. When the investor's planning horizon is short (less than 5 years), he or she considerably reduces the initial portfolio weight of stocks compared to an investor with smooth power utility. The empirical section of the paper estimates the level of loss aversion implied by historical U.S. stock market data, using a representative agent model. We find that loss aversion and risk aversion cannot be disentangled empirically. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.