We study the asset allocation of an investor with prospect theory (PT) preferences. First, we solveanalytically the two-asset problem of the PT investor for one risk-free and one risky asset and find thatloss aversion and the reference return affect differently less ambitious and more ambitious...

We nowcast and forecast Austrian economic activity, namely real gross domestic product (GDP), consumption and investment, which are available at a quarterly frequency. While nowcasting uses data up to (and including) the quarter to be predicted, forecasting uses only data up to the previous...

Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more traditional optimal mean-variance (MV) and conditional...

The objective of this paper is to combine a real options framework with portfolio optimization techniques and to apply this new framework to investments in the electricity sector. In particular, a real options model is used to assess the adoption decision of particular technologies under...