September 1, 2011
Journal Articles
Complimentary CONTENT
Evidence on Dynamic Loss Aversion from Currency Portfolios
By: Ken Froot, State Street Associates
September 1, 2011
By: Ken Froot, State Street Associates
By Kenneth Froot, John Arabadjis, Sonya Cates, and Stephen Lawrence.
Published in the Journal of Portfolio Management, Fall 2011.
Do institutional investors care about past losses? If so, how do they frame the past to inform subsequent decisions, and what causes panic trading? The ability of investors to compartmentalize their losses and remain rational on their current investment decisions is an axiom of classical theory.
Author Bios
Ken Froot
Ken is a professor emeritus at Harvard Business School, a founding partner of State Street Associates, and a founding partner of MKT MediaStats. His research focuses on macroeconomics and markets, leveraging both academic research studies and broad experience working with companies, countries, and official institutions around the world. Ken’s research provides State Street clients with novel perspectives on how capital flows and macro forces influence markets and economies.
State Street Associates
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.