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The Disposition Effect in the Lab
Vlcek, Martin; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2007
rebalancing, prospect theory with a fixed reference point, or the justification hypothesis explain the disposition effect. …
Persistent link: https://www.econbiz.de/10005858051
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Making Prospect Theory Fit for Finance
De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The prospect theory of Kahneman and Tversky (1979) and the cumulative prospect theory of Tversky and Kahneman (1992 …) are descriptive models for decision making that summarize several violations of the expected utility theory. This paper … gives a survey of applications of prospect theory to the portfolio choice problem and the implications for asset pricing. We …
Persistent link: https://www.econbiz.de/10005858528
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Does Prospect Theory Explain the Disposition Effect?
Hens, Thorsten; Vlcek, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2006
. A standard explanation of the disposition effect refers to prospect theory and in particular to the asymmetric risk … that for reasonable parameter values the disposition effect can however not be explained by the prospect theory as proposed … first place not have invested in stocks. That is to say the standard prospect theory argument is sound ex-post, assuming …
Persistent link: https://www.econbiz.de/10005858770
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Property Derivatives and Index-Linked Mortgages
Syz, Juerg; Vanini, Paolo; Salvi, Marco - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, 1999). The rationale for these financial instruments seems clear, as many households are heavily invested in housing and standard financial...
Persistent link: https://www.econbiz.de/10005858211
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Financial Market Equilibria with Cumulative Prospect Theory
de Giorgio, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009
The paper rst shows that nancial market equilibria need not to exist if agents possesscumulative prospect theory … preferences with piecewise-power value functions. This is due tothe boundary behavior of the cumulative prospect theory value …-negativity constraints on nal wealth are imposed andthere is a continuum of agents in the market. However, if the original prospect theory …
Persistent link: https://www.econbiz.de/10009354077
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Will investors adapt their investment behavior whenfaced with a change in information feedback and investmentflexibility?
Zeisberger, Stefan; Langer, Thomas; Weber, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Assuming investors are loss averse, repeated risky investments are less attractive inmyopic evaluation. A theoretical foundation for this effect is given by the behavioralconcept of myopic loss aversion (MLA). The consequences of MLA have been confirmedin several between-subject experimental...
Persistent link: https://www.econbiz.de/10009354101
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The dark side of the moon: structured products from the customer's perspective
Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008
Structured financial products have gained more and more popularity in recent years, but nevertheless has their success so far notthoroughly been analyzed. In this article we develop a theoreticalframework for the design of optimal structured products and analyzethe maximal utility gain for an...
Persistent link: https://www.econbiz.de/10005857733
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008
It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...
Persistent link: https://www.econbiz.de/10005857736
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CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
Broda, Simon A.; Paolella, Marc S. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysiscan be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...
Persistent link: https://www.econbiz.de/10005857739
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Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries
Bajgrowicz, Pierre; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...
Persistent link: https://www.econbiz.de/10005857744