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When Prospect Theory Preference Meets Mean-Reverting Asset Returns : A Dynamic Asset Allocation Model

Gao, Jianjun - 2019

We examine how the evidence of mean-reversion in stock returns affects dynamic trading behavior for investors with prospect-theory preferences. Particular attention is paid to the trading incentives created by the interaction between prospect-theory preferences and mean-reverting return...

Persistent link: https://www.econbiz.de/10012899580

Multi-period portfolio choice under loss aversion with dynamic reference point in serially correlated market

Gao, Jianjun; Li, Yaoming; Shi, Yun; Xie, Jinyan - In: Omega : the international journal of management science 127 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014557792

Prospect theory and trading patterns

Yao, Jing; Li, Duan - In: Journal of banking & finance 37 (2013) 8, pp. 2793-2805

Persistent link: https://www.econbiz.de/10009776367

Bounded rationality as a source of loss aversion and optimism : a study of psychological adaption under incomplete information

Yao, Jing; Li, Duan - In: Journal of economic dynamics & control 37 (2013) 1, pp. 18-31

Persistent link: https://www.econbiz.de/10009703615

Time consistent behavioral portfolio policy for dynamic mean-variance formulation

Cui, Xiangyu; Li, Xun; Li, Duan; Shi, Yun - In: Journal of the Operational Research Society : OR 68 (2017) 12, pp. 1647-1660

Persistent link: https://www.econbiz.de/10011816054

Better than dynamic mean-variance : time inconsistency and free cash flow stream

Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 346-378

Persistent link: https://www.econbiz.de/10009613192

The impact of a reference point determined by social comparison on wealth growth and inequality

Lou, Youcheng; Strub, Moris S.; Li, Duan; Wang, Shouyang - In: Journal of economic dynamics & control 127 (2021), pp. 1-26

Persistent link: https://www.econbiz.de/10012668948