Abstract:The relationship between risk and return is not symmetric under different circumstances. As the prospect theory describes, the value function which passes through the reference point is steeper for losses than gains (asymmetric risk appetite). But such an asymmetrical risk aversion could be traced in different periods of investment and market boom and bust cycles behind the reference point. Moreover, v ' ic behavior is different regarding various risks, such as market risk, illiquidity risk, and credit risk. T… Show more
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