Asymmetric preferences in investment decisions in the Brazilian financial market

Resumo

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.

Ficha do documento

Tipo

Estudo

Ano

2007

Instituição

SSRN

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/15563

Palavras-chave

Utility maximizationLoss aversionRisk aversionBrazilian stock marketProspectFinançasMercado financeiro - Brasil