Updated: 10/12/2008 09:56
|
| Is time-diversification efficient for loss averse investors | |
 Abstract
The paper analyzes the equity premium puzzle in light of prospect theory. Using piecewise linear utility functions, we describe the value function of a loss averse investor as a portfolio of call and put options. We show that loss aversion is not sufficient to explain the equity premium puzzle, reinforcing the argument of myopic loss aversion developed by Benartzi and Thaler (1995).
Authors in this community
 ROGER, Patrick
Download locations
Is time-diversification efficient for loss averse investors
http://www.institut-europlace.com/files/pdf/doc251505.pdf
|
|
|
