Gemmill, Gordon T; Hwang, Soosung; Salmon, Mark - C.E.P.R. Discussion Papers - 2005
We examine a simple measure of portfolio performance based on prospect theory, which captures not only risk and return … price. When applying the loss-aversion performance measure to closed-end funds, we find that it gives significantly …-aversion performance is not more closely related to discounts on funds than are the conventional performance measures, so we have not found …