Journal of CENTRUM Cathedra. Vol. 03, Issue 01

URI permanente para esta colecciónhttp://54.81.141.168/handle/123456789/194728

Tabla de Contenido
JCC Volume 3 - Issue 1 - 2010
  • Firms’ Financing, Contract Enforcement, and Liability Dollarization Sosa-Padilla, César; 1
  • The Effect of Health Insurance on Health Care Utilization: Evidence from The Medical Expenditure Panel Survey 2000-2005 Beuermann, Diether W; 2
  • Forecasting Commodity Prices with Switching Regimes: The Case of Fishmeal Prices Tveterås, Sigbjørn; 3
  • How Investors Face Financial Risk: Loss Aversion and Wealth Allocation Rengifo, Erick W; Trifan, Emanuela; 4
  • Skewed Forward-Looking Monetary Policy Behavior: A Look at the Latin American Inflation Targeting Practice Vega, Marco; 5
  • Benchmarking Malaysia in the Global Information Society: Regressing or Progressing? Ramasami, Ramachandran; 6
  • Towards Sustainable Offshore Outsourcing: A Case Study of Quebec Manufacturing Firms Outsourcing to China Mohiuddin, Muhammad; Su, Zhan; Su, Albert; 7

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    Autorsearch.filters.applied.operator.equals: search.filters.author.Trifan, EmanuelaTemasearch.filters.applied.operator.equals: search.filters.subject.Capital Allocation

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      How Investors Face Financial Risk: Loss Aversion and Wealth Allocation
      (Pontificia Universidad Católica del Perú. CENTRUM, 2010) Rengifo, Erick W.; Trifan, Emanuela
      We studied how the capital allocation decisions and the loss version of nonprofessional investors change subject to behavioral factors. The optimal wealth allocation between risky and risk-free assets results within a value-at-risk (VaR) portfolio model, which involves assessing risk individually according to an extended prospect-theory framework. We showed how the past performance and the portfolio evaluation frequency affect investor behavior and prove myopic loss aversion holds across different evaluation frequencies. We also illustrated that 1 year is the optimal evaluation horizon at which, under practical constraints, maximization of risky holdings occurs. Finally, we presented evidence that indicates that researchers using standard VaR significance levels may be underestimating the loss aversion of individual investors.