We study the asset allocation of a quadratic loss-averse (QLA) investor and derive conditions under which the QLA problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically the two-asset problem of the QLA investor for a risk-free...

We study the asset allocation of a linear loss-averse (LA) investor and compare it to the more traditional mean-variance (MV) and conditional value-at-risk (CVaR) investors. First we derive conditions under which the LA problem is equivalent to the MV and CVaR problems and solve analytically the...

This paper questions traditional approaches for testing the Monday effect of stock returns. We propose an alternative, multiple hypothesis testing approach based on the closure test principle which controls the multiple type I error. We consider the US, the UK and the German stock markets and...

The Central and Eastern European countries' prospects of becoming EU members depend heavily on, among other things, their per capita GDP levels. It is shown that the neoclassical growth model does not yet adequately describe the growth process in these countries. This makes a direct growth...

In this paper we use principal components augmented regressions (PCARs), partly in conjunction with model averaging, to determine the variables relevant for economic growth. The use of PCARs allows to effectively tackle two major problems that the empirical growth literature faces: (i) the...

This study verifies whether the results of proportional capital income taxation on the risk-taking of a loss-averse investor will still hold when the return of a risky asset has a general continuous distribution. We extend the previous literature, which assumes a binomial distribution of asset...