Reference Dependence and Market Participation

Abstract

This paper finds optimal portfolios for the reference-dependent preferences of Koszegi and Rabin, with piecewise linear gain-loss utility, in a one-period model with a safe and a risky asset. If the return of the risky asset... [ view full abstract ]

Authors

  1. Andrea Meireles Rodrigues (Dublin City University)

Topic Areas

Game Theory , Optimal Investment , Utility Theory

Session

TU-A-UI » Equilibria: Heterogenous Preferences & Information, Learning & Reference Dependence (11:30 - Tuesday, 17th July)

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