DocumentCode :
2116529
Title :
The Impact of Loss Aversion on Investment Choice
Author :
Gao, Jian Wei ; Wang, Cheng
Author_Institution :
Economic & Manage. Sch., North China Electr. Power Univ. (Beijing), Beijing, China
Volume :
2
fYear :
2010
fDate :
7-8 Aug. 2010
Firstpage :
459
Lastpage :
461
Abstract :
Our aim is to find how asset allocation decisions might vary with investor´s attitude about loss aversion. Based on the loss aversion theory, we modified the returns of the risky assets of the Mean-variance model, and set up an investor´s objective function. By the empirical research, we show that the investor´s feeling of loss aversion can have a potent effect on investment choice. Compared with a risk-averse investor, the investor who takes loss aversion into account will hold less risky assets. We also find that the degree of the investor´s feeling of loss aversion can have significant impact on investment choice. The higher the degree is, the less the investor would invest in the risky assets.
Keywords :
investment; statistical analysis; investment choice; investor objective function; loss aversion impact; loss aversion theory; mean-variance model; risk-averse investor; risky assets return; Benchmark testing; Biological system modeling; Economics; Investments; Planning; Portfolios; Psychology; Investment Choice; Loss Aversion; Mean-variance Model;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Information Science and Management Engineering (ISME), 2010 International Conference of
Conference_Location :
Xi´an
Print_ISBN :
978-1-4244-7669-5
Electronic_ISBN :
978-1-4244-7670-1
Type :
conf
DOI :
10.1109/ISME.2010.118
Filename :
5573789
Link To Document :
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