[文献] Loss aversion and the price of risk [推广有奖]

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马甲甲 发表于 2016-6-22 21:46:09 |AI写论文

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【全文链接或数据库名称(选填)】Loss aversion and the price of riskM Levy - Quantitative Finance, 2010 - Taylor & Francis
This paper derives a simple theoretical relationship between the degree of loss aversion, the
concavity/convexity of the value function, and the equilibrium market price of risk. We show
that while the degree of loss aversion is key in determining the market price of risk, the ...
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