FGV Digital Repository
    • português (Brasil)
    • English
    • español
      Visit:
    • FGV Digital Library
    • FGV Scientific Journals
  • English 
    • português (Brasil)
    • English
    • español
  • Login
View Item 
  •   DSpace Home
  • FGV EAESP - Escola de Administração de Empresas de São Paulo
  • FGV EAESP - Centros de Estudos
  • FGV EAESP - GVcef - Centro de Estudos em Finanças
  • FGV EAESP - GVcef - Working Papers
  • View Item
  •   DSpace Home
  • FGV EAESP - Escola de Administração de Empresas de São Paulo
  • FGV EAESP - Centros de Estudos
  • FGV EAESP - GVcef - Centro de Estudos em Finanças
  • FGV EAESP - GVcef - Working Papers
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

All of DSpaceFGV Communities & CollectionsAuthorsAdvisorSubjectTitlesBy Issue DateKeywordsThis CollectionAuthorsAdvisorSubjectTitlesBy Issue DateKeywords

My Account

LoginRegister

Statistics

View Usage Statistics

Asymmetric preferences in investment decisions in the Brazilian financial market

Thumbnail
View/Open
PDF (156.3Kb)
Date
2007
Author
Martits, Luiz Augusto
Eid Júnior, William
Metadata
Show full item record
Abstract
The main objective of this article is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results than the classic Von Neumann-Morgenstern utility functions in the Brazilian market. The asymmetric behavior can be computed through the introduction of a disappointment (or loss) aversion coefficient in the classical expected utility function, which increases the impact of losses against gains. The results generated by both traditional and loss aversion utility functions are compared with real data from the Brazilian market regarding stock market participation in the investment portfolio of pension funds and individual investors.
URI
http://hdl.handle.net/10438/15563
Collections
  • FGV EAESP - GVcef - Working Papers [18]
Knowledge Areas
Finanças
Subject
Mercado financeiro - Brasil
Keyword
Utility maximization
Loss aversion
Risk aversion
Brazilian stock market
Prospect

DSpace software copyright © 2002-2016  DuraSpace
Contact Us | Send Feedback
Theme by 
@mire NV
 

 


DSpace software copyright © 2002-2016  DuraSpace
Contact Us | Send Feedback
Theme by 
@mire NV
 

 

Import Metadata