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[working paper]

dc.contributor.authorFortin, Inesde
dc.contributor.authorHlouskova, Jaroslavade
dc.date.accessioned2022-07-19T13:18:06Z
dc.date.available2022-07-19T13:18:06Z
dc.date.issued2022de
dc.identifier.urihttps://www.ssoar.info/ssoar/handle/document/80085
dc.description.abstractWe study the asset allocation of an investor with prospect theory (PT) preferences. First, we solve analytically the two-asset problem of the PT investor for one risk-free and one risky asset and find that loss aversion and the reference return affect differently less ambitious investors and more ambitious investors. Second, we empirically investigate the performance of a PT portfolio when diversifying among a stock market index, a government bond and gold, in Europe and the US. We focus on investors with PT preferences under different scenarios regarding the reference return and the degree of loss aversion and compare their portfolio performance with the performance of investors under CVaR, risk neutral, linear loss averse and in particular mean-variance (MV) preferences. We find that, in the US, PT portfolios signiffcantly outperform (in terms of returns) mean-variance portfolios in the majority of cases. Also with respect to riskadjusted performance, PT investment outperforms MV investment in the US. Similar results, however, can not be observed in Europe. Finally, we analyze asymmetric effects along economic uncertainty and observe that PT investment leads to higher returns than MV investment in times of larger economic uncertainty, especially in the US.de
dc.languageende
dc.subject.ddcWirtschaftde
dc.subject.ddcEconomicsen
dc.subject.otherprospect theory; loss aversion; portfolio allocation; mean-variance portfolios; investment strategyde
dc.titleProspect theory and asset allocationde
dc.description.reviewbegutachtetde
dc.description.reviewrevieweden
dc.source.volume42de
dc.publisher.countryAUTde
dc.publisher.cityWiende
dc.source.seriesIHS Working Paper
dc.subject.classozVolkswirtschaftstheoriede
dc.subject.classozNational Economyen
dc.subject.thesozAnlagevermögende
dc.subject.thesozcapital assetsen
dc.identifier.urnurn:nbn:de:0168-ssoar-80085-8
dc.rights.licenceCreative Commons - Namensnennung 4.0de
dc.rights.licenceCreative Commons - Attribution 4.0en
ssoar.contributor.institutionIHS (Wien)de
internal.statusformal und inhaltlich fertig erschlossende
internal.identifier.thesoz10035688
dc.type.stockmonographde
dc.type.documentArbeitspapierde
dc.type.documentworking paperen
dc.source.pageinfo59de
internal.identifier.classoz1090301
internal.identifier.document3
dc.contributor.corporateeditorInstitut für Höhere Studien (IHS), Wien
internal.identifier.corporateeditor191
internal.identifier.ddc330
dc.description.pubstatusVeröffentlichungsversionde
dc.description.pubstatusPublished Versionen
internal.identifier.licence16
internal.identifier.pubstatus1
internal.identifier.review2
internal.identifier.series1457
internal.pdf.wellformedtrue
internal.pdf.encryptedfalse


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