Benartzi, S., &Thaler, R. H. (1999). Risk aversion or myopia? Choices in repeated gambles and retirement investments. Management science, 45(3), 364-381.
We study how decision makers choose when faced with multiple plays of a gamble or investment. When evaluating multiple plays of a simple mixed gamble, a chance to win x or lose y, subjects show a sensitivity to the amount to lose on a single trial, holding the distribution of returns for the portfolio constant; that is, they display “myopic loss aversion.” Many subjects who ...