| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5173 |
| DP5173 Performance Measurement with Loss Aversion | |
| Mark Salmon; Gordon T Gemmill; Soosung Hwang | |
| 发表日期 | 2005-08-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | We examine a simple measure of portfolio performance based on prospect theory, which captures not only risk and return but also reflects differential aversion to upside and downside risk. The measure we propose is a ratio of gains to losses, with the gains and losses weighted (if desired) to reflect risk-aversion for gains and risk-seeking for losses. It can also be interpreted as the weighted ratio of the value of a call option to a put option, with the benchmark as the exercise price. When applying the loss-aversion performance measure to closed-end funds, we find that it gives significantly different rankings from those of conventional measures (such as the Sharpe ratio, Jensen's alpha, the Sortino ratio, and the Higher Moment measure), and gives the expected signs for the odd and even moments of tracking errors. However, loss-aversion performance is not more closely related to discounts on funds than are the conventional performance measures, so we have not found evidence that loss-aversion attracts investors to particular funds in the short-term. |
| 主题 | Financial Economics |
| 关键词 | Performance measurement Loss aversion Prospect theory Closed-end-fund puzzle |
| URL | https://cepr.org/publications/dp5173 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534058 |
| 推荐引用方式 GB/T 7714 | Mark Salmon,Gordon T Gemmill,Soosung Hwang. DP5173 Performance Measurement with Loss Aversion. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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