{"id":1408,"date":"2025-06-14T10:25:21","date_gmt":"2025-06-14T10:25:21","guid":{"rendered":"http:\/\/christoph-hambel.de\/?p=1408"},"modified":"2025-06-25T20:23:35","modified_gmt":"2025-06-25T20:23:35","slug":"new-publication-6","status":"publish","type":"post","link":"http:\/\/christoph-hambel.de\/?p=1408","title":{"rendered":"New publication"},"content":{"rendered":"\n<p>I am excited to share that my paper <strong><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S1544612325010207\" data-type=\"link\" data-id=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S1544612325010207\">Dynamic Portfolio Choice with Regret Aversion and\u00a0Rejoicing<\/a><\/strong> (joint work with <a href=\"https:\/\/research.tilburguniversity.edu\/en\/persons\/djep-doreleijers\">Djep Doreleijers<\/a>) has been accepted for publication at <em>Finance Research Letters<\/em>. Djep and I started this project in late 2023 when he was writing his master thesis under my supervision. Now Djep is my PhD student, and I am particularly proud of him, because it is absolutely not common for students to turn their Master\u2019s thesis into research publications. Congratulations Djep and thanks a lot for all your hard work on this paper!<\/p>\n\n\n\n<p>This paper analytically assesses the optimal investment problem for a regret-averse investor. Extending CRRA utility to regret and rejoicing, we propose a multiplicative regret-rejoicing utility function. The agent can invest in a risk-free asset and in a risky asset. We derive closed-form solutions and show how the optimal investment strategy depends on the chosen benchmark investment strategy if she feels regret due to foregone profits. The more regret-averse the agent is, the more she is tilted towards the benchmark strategies. We extend this approach to settings with multiple benchmarks and provide some numerical illustrations.<\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>I am excited to share that my paper Dynamic Portfolio Choice with Regret Aversion and\u00a0Rejoicing (joint work with Djep Doreleijers) has been accepted for publication at Finance Research Letters. Djep and I started this project in late 2023 when he was writing his master thesis under my supervision. Now Djep is my PhD student, and I am particularly proud of [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":1412,"comment_status":"closed","ping_status":"","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[4],"tags":[],"class_list":["post-1408","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-research","col-lg-4 col-md-6"],"_links":{"self":[{"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/posts\/1408","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1408"}],"version-history":[{"count":5,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/posts\/1408\/revisions"}],"predecessor-version":[{"id":1434,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/posts\/1408\/revisions\/1434"}],"wp:featuredmedia":[{"embeddable":true,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=\/wp\/v2\/media\/1412"}],"wp:attachment":[{"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1408"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1408"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/christoph-hambel.de\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1408"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}