Hedge Fund Payoffs and Loss Aversion

2003 ◽  
Author(s):  
Arjen H. Siegmann ◽  
Andre Lucas
Keyword(s):  
Loss Aversion ◽  
Hedge Fund

OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION

2017 ◽  
Vol 20 (03) ◽  
pp. 1750014 ◽  
Author(s):  
BIN ZOU
Keyword(s):  
Utility Function ◽  
Loss Aversion ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Optimal Investment ◽  
Cumulative Prospect Theory ◽  
Explicit Solutions ◽  
Or Management ◽  
General Utility ◽  
Exponential Utility Function

We study optimal investment problems in hedge funds for a loss averse manager under the framework of cumulative prospect theory. We obtain explicit solutions for a general utility function satisfying the Inada conditions and a piece-wise exponential utility function. Through a sensitivity analysis, we find that the manager reduces the risk of the hedge fund when her/his loss aversion, risk aversion, ownership in the fund, or management fee ratio increases. However, the increase of incentive fee ratio drives the manager to seek more risk in order to achieve higher prospect utility.

Individual Differences in Loss Aversion

2006 ◽  
Author(s):  
Yariv Cohen ◽  
Eric J. Johnson ◽  
Jayanth Narayanan ◽  
Elke Weber
Keyword(s):  
Individual Differences ◽  
Loss Aversion

Varieties of loss aversion: On sensitivity to valence and sensitivity to possession

2004 ◽  
Author(s):  
Lyle Brenner ◽  
Yuval Rottenstreich ◽  
Sanjay Sood
Keyword(s):  
Loss Aversion

Improving student performance through loss aversion.

2019 ◽  
Vol 5 (4) ◽  
pp. 278-288
Author(s):  
Ben O. Smith ◽  
Rebekah Shrader ◽  
Dustin R. White ◽  
Jadrian Wooten ◽  
John Dogbey ◽  
...  
Keyword(s):  
Student Performance ◽  
Loss Aversion ◽  
Improving Student Performance

Hidden Hedge Fund Risks Jeopardize Unknowing Investors

CFA Magazine ◽  
2003 ◽  
Vol 14 (3) ◽  
pp. 52-53
Author(s):  
Crystal Detamore-Rodman
Keyword(s):  
Hedge Fund

Hedge Fund Survey: Risk Management Overview

CFA Digest ◽  
2001 ◽  
Vol 31 (2) ◽  
pp. 95-95
Author(s):  
Frank T. Magiera
Keyword(s):  
Risk Management ◽  
Hedge Fund
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