文章基本信息

标题：Loss Aversion: A Comparison of Investment Decision Making Between Individual Investors and Pension Funds in Brazil
本地全文：下载
作者：Luiz Augusto Martits ; William Eid Junior
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2009
卷号：7
期号：4
页码：429-457
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：This article compares the application of a loss aversion utility function with a traditional Von Neumann-Morgenstern utility function aiming to test whether the first form of utility could better replicate the actual behavior of Brazilian investors concerning the choice of optimum investment portfolio. The results generated by both functions, in terms of stock market participation in the optimum investment portfolio, are compared with real aggregate data from two types of Brazilian investors (pension funds and individual investors). The analysis indicates that: i) the traditional utility function should be rejected as an adequate model to replicate Brazilian individual investors behavior in the stock market; and ii) Brazilian individual investors behavior are better replicated by a loss aversion utility function.
其他摘要：This article compares the application of a loss aversion utility function with a traditional Von Neumann-Morgenstern utility function aiming to test whether the first form of utility could better replicate the actual behavior of Brazilian investors concerning the choice of optimum investment portfolio. The results generated by both functions, in terms of stock market participation in the optimum investment portfolio, are compared with real aggregate data from two types of Brazilian investors (pension funds and individual investors). The analysis indicates that: i) the traditional utility function should be rejected as an adequate model to replicate Brazilian individual investors behavior in the stock market; and ii) Brazilian individual investors behavior are better replicated by a loss aversion utility function.
关键词：utility maximization;loss aversion;risk aversion;Brazilian stock market;prospect theory.;maximização da utilidade;aversão a perdas;aversão ao risco;mercado acionário brasileiro;teoria da perspectiva.
其他关键词：economics, business;utility maximization; loss aversion; risk aversion; Brazilian stock market; prospect theory.;G11.