portfolio optimization under loss aversion

7/25/2019 Portfolio Optimization Under Loss Aversion

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Fulga, C.a b

Portol!o opt!"!#at!o$ u$%er loss a&ers!o$

'2016( Europea$ )our$al o Operat!o$al Researc*, 2+1 '1(, pp. 10-22.

*ttp:///.scopus.co"!$/ar%recor%.urle!%2-s2.0-34++156015part$er7D30"%+ae614033+%24%404321%513b3

DO7: 10.10168.e8or.201+.11.0

AFF797AT7OS: ;uc*arest <$!&ers!t= o Eco$o"!c Stu%!es, Depart"e$t o

Appl!e% >at*e"at!cs, P!ata Ro"a$a 6, ;uc*arest, Ro"a$!a?

@*eorg*e >!*oc-Ca!us 7acob 7$st. o >at*. Stat!st!cs a$% Appl!e%

>at*e"at!cs o Ro"a$!a$ Aca%e"=, Calea 1 Septe"br!e o.1, Sector +,

;uc*arest, Ro"a$!a

A;STRACT: e prese$t a$ !$tegrate% "et*o%olog!cal approac* or

select!$g portol!os. T*e propose% "et*o%olog= !s ocuse% o$

!$corporat!o$ o !$&estorBs preere$ces !$ t*e >ea$-R!s ra"e/or. e

propose a r!s "easure calculate% /!t* t*e %o/$s!%e part o t*e

portol!o retur$ %!str!but!o$ /*!c*, /e argue, captures better t*e

pract!cal be*a&!or o t*e loss-a&erse !$&estor. e establ!s* !ts

propert!es, stu%= t*e l!$ /!t* stoc*ast!c %o"!$a$ce cr!ter!a, po!$t

out t*e relat!o$s /!t* Co$%!t!o$al alue at R!s a$% 9o/er Part!al

>o"e$t o !rst or%er, a$% g!&e t*e epl!c!t or"ula or t*e case o

sce$ar!o-base% portol!o opt!"!#at!o$. T*e propose% "et*o%olog=

!$&ol&es t/o stages: !rstl=, t*e !$&est"e$t opportu$!t= set

'e!c!e$t ro$t!er( !s %eter"!$e%, a$% seco$%l=, o$e s!$gle preerre%

e!c!e$t portol!o !s selecte%, $a"el= t*e o$e *a&!$g t*e *!g*est

Epecte% <t!l!t= &alue. T*ree classes o ut!l!t= u$ct!o$s /!t* loss

a&ers!o$ correspo$%!$g to t*ree t=pes o !$&estors are co$s!%ere%. T*e

e"p!r!cal stu%= !s targete% o$ assess!$g t*e %!ere$ces bet/ee$ t*e

e!c!e$t ro$t!er o t*e propose% "o%el a$% t*e class!cal >ea$-

ar!a$ce, >ea$-CaR a$% >ea$-9P>1 ro$t!ers. e !rstl= a$al=#e t*e

loss o /elare !$curre% b= us!$g a$ot*er "o%el !$stea% o t*e

propose% o$e a$% "easure t*e correspo$%!$g ga!$loss o ut!l!t=.

Seco$%l=, /e assess *o/ "uc* t*e portol!os reall= %!er !$ ter"s o

t*e!r co"pos!t!o$s us!$g a %!ss!"!lar!t= !$%e base% o$ t*e 1-$or". e

%escr!be a$% !$terpret t*e opt!"al solut!o$s obta!$e% a$% e"p*as!#e

t*e role a$% !$lue$ce o loss a&ers!o$ para"eters &alues a$% o

co$stra!$ts. T*ree t=pes o co$stra!$ts are stu%!e%: $o s*ort sell!$g

allo/e%, a certa!$ %egree o %!&ers!!cat!o$ !"pose%, a$% s*ort

sell!$g allo/e%. 201+ Else&!er ;. . All r!g*ts reser&e%.

A<TGOR HEIORDS: 9oss a&ers!o$? >ea$-R!s "o%el? Portol!o

opt!"!#at!o$? <t!l!t= u$ct!o$s

7DEX HEIORDS: Dec!s!o$ t*eor=? F!$a$c!al %ata process!$g? R!s

percept!o$? Stoc*ast!c s=ste"s? alue e$g!$eer!$g, Co$%!t!o$al alue-

at-R!s? 7$&est"e$t opportu$!t!es? 9oss a&ers!o$? 9o/er part!al

"o"e$ts? >ea$-r!s "o%els? >et*o%olog!cal approac*? Portol!o

opt!"!#at!o$? <t!l!t= u$ct!o$s, R!s assess"e$t

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CORRESPODECE ADDRESS: Fulga, C.? ;uc*arest <$!&ers!t= o Eco$o"!c

Stu%!es, Depart"e$t o Appl!e% >at*e"at!cs, P!ata Ro"a$a 6, Ro"a$!a?

e"a!l: ulgaNcs!e.ase.ro

P<;97SGER: Else&!er

7SS: 0552215

CODE: E)ORD

9A@<A@E OF OR7@7A9 DOC<>ET: E$gl!s*

A;;RE7ATED SO<RCE T7T9E: Eur ) Oper ResDOC<>ET TIPE: Art!cle



SO<RCE: Scopus

portfolio optimization under loss aversion

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