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Ambiguity Aversion and Household Portfolio Choice : Empirical Evidence
Dimmock, Stephen G. - 2013
.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …
Persistent link: https://www.econbiz.de/10013087877
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Ambiguity Aversion and Household Portfolio Choice : Empirical Evidence
Dimmock, Stephen G. - 2013
.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …
Persistent link: https://www.econbiz.de/10012459919
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Robust Portfolio Choice
Raponi, Valentina; Uppal, Raman; Zaffaroni, Paolo - 2023
We develop a normative theory for constructing mean-variance portfolios robust to model misspecification. We identify … and a "beta'' portfolio that depends on factor risk premia, which when combined give mean-variance efficient portfolios …
Persistent link: https://www.econbiz.de/10014257258
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Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility
Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - 2007
overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk …
Persistent link: https://www.econbiz.de/10003961073
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Systemic risk and international portfolio choice
Das, Sanjiv R. (contributor); Uppal, Raman (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700273
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Systemic risk and international portfolio choice
Das, Sanjiv R. (contributor); Uppal, Raman (contributor) - 2002 - This version: October 2002
Persistent link: https://www.econbiz.de/10001797886
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Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
Dumas, Bernard - 2007
overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this "sentiment risk." …
Persistent link: https://www.econbiz.de/10012465249
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Target-date funds in 401(k) retirement plans
Mitchell, Olivia S.; Utkus, Stephen P. - 2012
Persistent link: https://www.econbiz.de/10009573170
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Target-Date Funds in 401(K) Retirement Plans
Mitchell, Olivia S. - 2013
Individual responsibility for portfolio construction is a central theme for defined contribution pensions, yet the rise of target-date funds is shifting investment decisions from workers back to employers. A complex choice architecture including automatic enrollment, reenrollment, and fund...
Persistent link: https://www.econbiz.de/10013090768
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Target-Date Funds in 401(K) Retirement Plans
Mitchell, Olivia S. - 2014
Individual responsibility for portfolio construction is a central theme for defined contribution pensions, yet the rise of target-date funds is shifting investment decisions from works back to employers. A complex choice architecture including automatic enrollment, reenrollment, and fund...
Persistent link: https://www.econbiz.de/10013066073