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Princeton University William S. Dietrich II Economic Theory Center Research Paper Series最新文献

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Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation 财富波动会产生随时间变化的风险厌恶吗?个人资产配置的微观证据
Princeton University William S. Dietrich II Economic Theory Center Research Paper Series Pub Date : 2005-06-01 DOI: 10.2139/ssrn.676116
S. Nagel, Markus K. Brunnermeier
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引用次数: 505
Prospect Theory and Liquidation Decisions 前景理论与清算决策
Princeton University William S. Dietrich II Economic Theory Center Research Paper Series Pub Date : 2005-02-08 DOI: 10.2139/ssrn.724402
A. Kyle, Hui Ou-Yang, Wei Xiong
{"title":"Prospect Theory and Liquidation Decisions","authors":"A. Kyle, Hui Ou-Yang, Wei Xiong","doi":"10.2139/ssrn.724402","DOIUrl":"https://doi.org/10.2139/ssrn.724402","url":null,"abstract":"We solve a liquidation problem for an agent with preferences consistent with the prospect theory of Kahneman and Tversky [Econometrica 47 (1979) 263–291]. We find that the agent is willing to hold a risky project with a relatively inferior Sharpe ratio if the project is currently making losses, and intends to liquidate it when it breaks even. On the other hand, the agent may liquidate a project with a relatively superior Sharpe ratio if its current profits rise or drop to the break-even point. Our results capture the spirit of the disposition effect and the break-even effect documented in empirical and experimental studies.","PeriodicalId":281179,"journal":{"name":"Princeton University William S. Dietrich II Economic Theory Center Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114974308","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 99
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