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Tille, Cedric; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2008

expected returns and risk, which arethe key determinants of portfolio choice, affect capital flows in often subtle ways. The …

Persistent link: https://www.econbiz.de/10005857750

Portfolio Management without Probabilities or Statistics

Flam, Sjur Didrik - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Considered here is on-line portfolio management aimed at maximizing the long-run growth of ﬁnancial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available - or deemed too diffcult....

Persistent link: https://www.econbiz.de/10005857758

Financial Market Equilibria With Cumulative Prospect Therory

De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The paper shows that ﬁnancial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an inﬁniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...

Persistent link: https://www.econbiz.de/10005857777

Robust Mean-Variance Portfolio Selection

Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and …, we perform simulations leading to the conclusion that, under classical estimation, model risk bias dominates estimation … risk bias. Finally, we suggest a diagnostic tool to warnthe analyst of the presence of extreme returns that have an …

Persistent link: https://www.econbiz.de/10005858020

The Disposition Effect in the Lab

Vlcek, Martin; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We conduct controlled experiments in order to analyze individual trading behavior. Our results suggest that investors measure their gains relative to their initial wealth, and that this reference point together with past stock price changes determine the portfolio choices. Subjects choose a...

Persistent link: https://www.econbiz.de/10005858051

Asset Prices with Locally-Constrained Entropy Recursive Multiple Priors Utility

Sbuelz, Alessandro; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Control problems with Recursive Multiple-Priors Utility (RMPU) are highly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with Locally-Constrained-Entropy RMPU (LCE-RMPU) that is tractable even in...

Persistent link: https://www.econbiz.de/10005858066

Evolutionary Portfolio Selection with Liquidity Shocks

De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This …

Persistent link: https://www.econbiz.de/10005858142

Benchmarks in Aggregate Household Portfolios

St-Amour, Pascal - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Referencedependent preference models assume that agents derive utility fromdeviations of consumption from benchmark levels, rather than from consumptionlevels. These references can be either backward-looking (as explicit in the Habit literature) or forward-looking (as implicitly suggested by...

Persistent link: https://www.econbiz.de/10005858217

Ratchet vs Blase Investors and Asset Markets

St-Amour, Pascal - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

estimates are consistent with blas´ behavior and counter-cyclical risk aversion. …

Persistent link: https://www.econbiz.de/10005858307

Survival of the Fittest on Wall Street

Hens, Thorsten; SchenkHoppe, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones Industrial Average (DJIA).We analyze numerically the long-run outcome of the competition ofﬁx-mix portfolio rules in a stock market with actual DJIA dividends.In the model seemingly...

Persistent link: https://www.econbiz.de/10005858308