Evidence on Dynamic Loss Aversion from Currency Portfolios

Kenneth Froot; John Arabadjis; Sonya Cates; Stephen Lawrence

doi:10.3905/jpm.2011.38.1.060

Article

Evidence on Dynamic Loss Aversion from Currency Portfolios

Kenneth Froot, John Arabadjis, Sonya Cates and Stephen Lawrence

The Journal of Portfolio Management Fall 2011, 38 (1) 60-68; DOI: https://doi.org/10.3905/jpm.2011.38.1.060

Kenneth Froot

is the André R. Jakurski Professor of Business Administration at Harvard University, founding partner of FDO Partners, and research director at State Street Associates in Cambridge, MA.

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For correspondence: ken.froot@fdopartners.com

John Arabadjis

is vice president and head of Investor Behavior Research at State Street Associates in Cambridge, MA.

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For correspondence: jsarabadjis@statestreet.com

Sonya Cates

is an assistant vice president in FX Investor Behavior Research at State Street Associates in Cambridge, MA.

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For correspondence: scates@statestreet.com

Stephen Lawrence

is vice president and head of FX Investor Behavior Research at State Street Associates in Cambridge, MA.

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For correspondence: sclawrence@statestreet.com

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The Journal of Portfolio Management

Vol. 38, Issue 1

Fall 2011

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Evidence on Dynamic Loss Aversion from Currency Portfolios