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| Author: | Ang, A. Bekaert, G. Liu, J. |
| Title: | Why stocks may disappoint |
| Journal: | Journal of Financial Economics
2005 : JUNE, VOL. 76:3, p. 471-508 |
| Index terms: | Equities Finance Portfolio management Risk aversion Shares Stock markets |
| Language: | eng |
| Abstract: | This article provides a formal treatment of both static and dynamic portfolio choice using the Disappointment Aversion preferences of Gul (1991. Econometrica 59(3), 667-686), which imply asymmetric aversion to gains versus losses. |
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