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  • Search: subject:"Generalized disappointment aversion"
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Year of publication
Subject
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Portfolio selection 4 Portfolio-Management 4 Theorie 4 Theory 4 Risiko 3 Risikoaversion 3 Risk 3 Risk aversion 3 generalized disappointment aversion 3 CAPM 2 Capital income 2 Erwartungsnutzen 2 Expected utility 2 Generalized disappointment aversion 2 Kapitaleinkommen 2 choice under uncertainty 2 optimal portfolios 2 Anlageverhalten 1 Asset Pricing 1 Asymmetries 1 Behavioural finance 1 Beta risk 1 Betafaktor 1 Capital market returns 1 Cross-section 1 Decision under uncertainty 1 Downside risks 1 Entscheidung unter Unsicherheit 1 Epstein-Zin utility 1 Generalized Disappointment Aversion 1 Intertemporal choice 1 Intertemporale Entscheidung 1 Kapitalmarktrendite 1 L-moments 1 Markov chain 1 Real Business Cycle 1 Risikomaß 1 Risikoprämie 1 Risk measure 1 Risk premium 1
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Online availability
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Free 3 Undetermined 2
Type of publication
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Article 3 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 4 Undetermined 2
Author
All
Fallahgoul, Hasan 2 Mancini, Loriano 2 Stoyanov, Stoyan V. 2 Campanale, Claudio 1 Castro, Rui 1 Clementi, Gian Luca 1 Farago, Adam 1 Hu, Yonghong 1 Khrapov, Stanislav 1 Lu, Xiaohua 1 Tédongap, Roméo 1
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Institution
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Center for Economic and Financial Research (CEFIR), New Economic School (NES) 1 Society for Economic Dynamics - SED 1
Published in...
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2006 Meeting Papers 1 Applied economics letters 1 Journal of financial economics 1 Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1 Working Papers / Center for Economic and Financial Research (CEFIR), New Economic School (NES) 1
Source
All
ECONIS (ZBW) 4 RePEc 2
Showing 1 - 6 of 6
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An L-moment approach for portfolio choice under non-expected utility
Fallahgoul, Hasan; Mancini, Loriano; Stoyanov, Stoyan V. - 2025
Persistent link: https://www.econbiz.de/10015339747
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Generalized disappointment aversion and the cross-section of stock returns
Lu, Xiaohua; Hu, Yonghong - In: Applied economics letters 30 (2023) 17, pp. 2455-2463
Persistent link: https://www.econbiz.de/10014365936
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Model risk and disappointment aversion
Fallahgoul, Hasan; Mancini, Loriano; Stoyanov, Stoyan V. - 2018 - Preliminary and incomplete
generalized disappointment aversion (GDA) preferences. We find that the marginal utility gains of the optimal portfolio of a GDA …
Persistent link: https://www.econbiz.de/10011937102
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Downside risks and the cross-section of asset returns
Farago, Adam; Tédongap, Roméo - In: Journal of financial economics 129 (2018) 1, pp. 69-86
Persistent link: https://www.econbiz.de/10011981218
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Risk Premia: Short and Long-term
Khrapov, Stanislav - Center for Economic and Financial Research (CEFIR), New … - 2012
utility model. The main result of this paper is that the generalized disappointment aversion model of Routledge & Zin (2010 …
Persistent link: https://www.econbiz.de/10010535511
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Cover Image
Business Cycles under Generalized Disappointment Aversion
Campanale, Claudio; Castro, Rui; Clementi, Gian Luca - Society for Economic Dynamics - SED - 2006
Standard business cycle models with state-additive preferences, while broadly consistent with the behavior of real macroeconomic aggregates, are unable to generate asymmetries between expansions and recessions, and are also inconsistent with the behavior of asset prices. In this paper we exploit...
Persistent link: https://www.econbiz.de/10005069351
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