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LOSS AVERSE INVESTMENT PORTFOLIO OPTIMIZATION BY THE EXAMPLE OF RUSSIAN STOCK MARKET
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LOSS AVERSE INVESTMENT PORTFOLIO OPTIMIZATION BY THE EXAMPLE OF RUSSIAN STOCK MARKET
Annotation
PII
S042473880000616-6-1
Publication type
Article
Status
Published
Authors
Artem Titarenko  Elena Fedorova
Edition
Volume 50 Issue 1
Pages
80-90
Abstract

This work describes investment portfolio optimization using linear loss averse function as well as comparison to traditional optimization methods like mean variance MV and CVaR. An empirical study is carried on Russian stock market indexes quotes, the results are compared to MV and CVaR methods. Proposing loss averse function portfolios outperform MV and CVaR portfolios as well as using adaptive model parameters improves the result even more.

Keywords
portfolio optimization, loss aversion, MV-, CVaR-metod
Date of publication
01.01.2014
Number of purchasers
1
Views
894
Readers community rating
0.0 (0 votes)
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References



Additional sources and materials

Sivak A.R., Fedorova E.A. (2012): Formirovanie investitsionnoj strategii na rossijskom fondovom rynke: otsenka poter' finansovykh vlozhenij // Finansovaya analitika: problemy i resheniya. № 15.


Barberis N., Huang M. (2001): Mental accounting, loss aversion and individual stock returns // Journal of Finance. No. 56.


Kahneman D., Tversky A. (1979): Prospect theory: an analysis of decision under risk // Econometrica. No. 47.

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