Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Dynamic option-based strategies under downside loss aversion
Amine Jalal
Abstract
ABSTRACT
Dynamic option-based investment strategies are derived and discussed for investors exhibiting downside loss aversion. The problem is solved in closed form when the stock market is characterized by stochastic volatility and jumps. The expected shortfall is used for illustration purposes and the role of each relevant derivative security is analyzed.
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