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  • EB-16-V36-I2-P67

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Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility. / Peel, David Alan; Law, David.
In: Economics Bulletin, Vol. 36, No. 2, 14.04.2016, p. 688-695.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Peel, DA & Law, D 2016, 'Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility', Economics Bulletin, vol. 36, no. 2, pp. 688-695. <http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I2-P67.pdf>

APA

Peel, D. A., & Law, D. (2016). Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility. Economics Bulletin, 36(2), 688-695. http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I2-P67.pdf

Vancouver

Peel DA, Law D. Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility. Economics Bulletin. 2016 Apr 14;36(2):688-695.

Author

Peel, David Alan ; Law, David. / Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility. In: Economics Bulletin. 2016 ; Vol. 36, No. 2. pp. 688-695.

Bibtex

@article{8019cfdababe4abeb2ff555d503efb28,
title = "Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility",
abstract = "The purpose in this note is to demonstrate that the non-expected utility model of Markowitz implies that agents can obtain maximum expected utility from wagering all of their wealth on actuarialy unfair high probability outcomes. In order to remove this property it is necessary to assume that loss aversion tends to infinity as stake size as a proportion of wealth approaches unity.",
author = "Peel, {David Alan} and David Law",
year = "2016",
month = apr,
day = "14",
language = "English",
volume = "36",
pages = "688--695",
journal = "Economics Bulletin",
issn = "1545-2921",
publisher = "Economics Bulletin",
number = "2",

}

RIS

TY - JOUR

T1 - Loss Aversion and Ruinous Optimal Wagering in the Markowitz Model of Non-Expected Utility

AU - Peel, David Alan

AU - Law, David

PY - 2016/4/14

Y1 - 2016/4/14

N2 - The purpose in this note is to demonstrate that the non-expected utility model of Markowitz implies that agents can obtain maximum expected utility from wagering all of their wealth on actuarialy unfair high probability outcomes. In order to remove this property it is necessary to assume that loss aversion tends to infinity as stake size as a proportion of wealth approaches unity.

AB - The purpose in this note is to demonstrate that the non-expected utility model of Markowitz implies that agents can obtain maximum expected utility from wagering all of their wealth on actuarialy unfair high probability outcomes. In order to remove this property it is necessary to assume that loss aversion tends to infinity as stake size as a proportion of wealth approaches unity.

M3 - Journal article

VL - 36

SP - 688

EP - 695

JO - Economics Bulletin

JF - Economics Bulletin

SN - 1545-2921

IS - 2

ER -