How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection

The authors are grateful to Nicholas Barberis, Chunli Cheng, Xiangyu Cui, Enrico De Giorgi, Jianjun Gao, Christian Hilpert, Rujun Jiang, Roy Kouwenberg, Duan Li, Youcheng Lou, Yun Shi, Stephan Sturm, Cong Sui, an anonymous associate editor, and three anonymous reviewers for their very helpful comments and suggestions. The authors also thank seminar and conference participants at the 7th Asian Quantitative Finance Conference, the INFORMS Annual Meeting 2018, the 2019 Quantitative Finance Workshop at ETH Zürich, the Second Joint SIAM/CAIMS Annual Meeting, Dalian Maritime University, East China Normal University, Fudan University, Lingnan College at Sun Yat-sen University, Shanghai University of Finance and Economics, South China Normal University, and the University of St. Gallen for their comments. Author order is alphabetical. Both authors are co-first authors of this paper.