This study examines the influence of regret aversion on asset pricing by proposing a regret-based capital asset pricing model in which individuals maximize the expected returns from chosen portfolios of assets while minimizing anticipated regrets. In equilibrium, a closed-form pricing formula is derived...
Regret-based capital asset pricing model 2020, Journal of Banking and Finance Citation Excerpt : Theoretical studies have been carried out as well. Braun and Muermann (2004) and Fujii et al. (2016) demonstrate regret can affect individuals’ insurance purchase decisions. Muermann et al. (2006)...
Qin [15] proposed a capital asset pricing model based on regret theory to explore the impact of regret aversion on capital pricing. Bai and Sarkis [16] proposed a new hybrid group decision-making method combining hesitant fuzzy set and regret theory for the evaluation and selection of block ...
Despite the fact that there are vendor-provided packages that model the structure of structured products, the valuation is based on (point estimate) assumptions that are input by the user, rather than simulation of the performance of the reference mortgage portfolios. From the above, we can ...
regret theorycounterfactual thinkingemotionasset pricingThis paper examines the aggregate effects of regret in a market where investors maximize expected return while minimizing anticipated regret. In equilibrium, thQin, JieSocial Science Electronic Publishing...
Our findings reveal regret aversion in the A‐share market, and "market return" is an essential measuring indicator, which improves the consumption‐based Capital Asset Pricing Model (CCAPM) empirical results by more minor pricing errors and equity premiums. Comparatively, the variations i...