{"id":1474,"date":"2021-05-07T08:23:00","date_gmt":"2021-05-07T07:23:00","guid":{"rendered":"http:\/\/mathfinance.sns.it\/?p=1474"},"modified":"2021-05-07T08:28:22","modified_gmt":"2021-05-07T07:28:22","slug":"loriano-mancini-portfolio-choice-when-stock-returns-may-disappoint-an-empirical-analysis-based-on-l-moments","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/loriano-mancini-portfolio-choice-when-stock-returns-may-disappoint-an-empirical-analysis-based-on-l-moments\/","title":{"rendered":"May 11 at 4 pm (CEST). Loriano Mancini, Portfolio choice when stock returns may disappoint: An empirical analysis based on L-moments"},"content":{"rendered":"<p><span style=\"font-weight: 400;\">May 11 at 4 pm (CEST).<\/span><\/p>\n<p>Presenters: Loriano Mancini (Universit\u00e0 della Svizzera Italiana)<br \/>\nTitle: Portfolio choice when stock returns may disappoint: An empirical analysis based on L-moments<br \/>\nAbstract: We empirically examine the equity portfolio choices of investors with generalized disappointment aversion (GDA) preferences. The portfolio choice relies on a novel semi-parametric method based on L-moments which permits a large-scale empirical study. GDA investors appear to be very sensitive to higher-order L-moment returns, and to suffer large monetary utility losses from suboptimal portfolio choices such as equally weighted portfolios. These losses increase in the level of disappointment aversion and the number of stocks available for investment.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>May 11 at 4 pm (CEST). Presenters: Loriano Mancini (Universit\u00e0 della Svizzera Italiana) Title: Portfolio choice when stock returns may disappoint: An empirical analysis based on L-moments Abstract: We empirically examine the equity portfolio choices of investors with generalized disappointment aversion (GDA) preferences. The portfolio choice relies on a novel semi-parametric method based on L-moments [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1474"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=1474"}],"version-history":[{"count":3,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1474\/revisions"}],"predecessor-version":[{"id":1478,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1474\/revisions\/1478"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=1474"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=1474"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=1474"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}