英文标题：
《Realization Utility with Reference-Dependent Preferences》
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作者：
Jonathan E. Ingersoll Jr., Lawrence J. Jin
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最新提交年份：
2014
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英文摘要：
We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It makes specific predictions about the volume of gains and losses, the holding periods, and the sizes of both realized and paper gains and losses that can be calibrated to a variety of statistics, including the Odean measure of the disposition effect. Our model also predicts several anomalies including, among others, the flattening of the capital market line and a negative price for idiosyncratic risk.
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中文摘要：
我们开发了一个易于处理的实现效用模型，该模型研究了参考依赖S型偏好在具有再投资的动态投资环境中的作用。我们的模型产生自愿实现的收益和损失。它对损益量、持有期以及已实现损益和账面损益的大小进行了具体预测，可以根据各种统计数据进行校准，包括处置效果的Odean度量。我们的模型还预测了一些异常现象，其中包括资本市场线的扁平化和特殊风险的负价格。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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