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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 …
Persistent link: https://www.econbiz.de/10005857777
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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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Evolutionary Portfolio Selection with Liquidity Shocks
De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on liquidity shocks which occur during unfavorable years, when indemnities to be paid to the clients exceed collected premia. An investment strategy that does not take liquidity...
Persistent link: https://www.econbiz.de/10005858142
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Survival of the Fittest on Wall Street
Hens, Thorsten; Schenk–Hoppe, 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 … market wealth in competition with fix-mix portfolio rules derived from mean-variance optimization, maximum growth theory and …
Persistent link: https://www.econbiz.de/10005858308
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Evolutionary Stable Stock Markets
Hens, Thorsten; Schenk-Hoppe, Klaus Reiner; Evstigneev, Igor - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper shows that a stock market is evolutionary stable if andonly if stocks are evaluated by expected relative dividends. Any othermarket can be invaded by portfolio rules that will gain market wealthand hence change the valuation. In the model the valuation of assetsis given by the wealth...
Persistent link: https://www.econbiz.de/10005858757
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Markets Do Not Select for a Liquidity Preference as Behavior Towards Risk
Hens, Thorsten; Schenk-Hoppe, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account the evolution of wealth of cash holders versus non cash holders. Cash...
Persistent link: https://www.econbiz.de/10005859324
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An Application of Evolutionary Finance to Firms : Listed in the Swiss Market Index
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Martin - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI … from Mean-Variance Optimization, Maximum Growth Theory and Behavioral Finance, the evolutionary portfolio rule discovered …
Persistent link: https://www.econbiz.de/10005859332
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Market Selection and Survival Investment Strategies
Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model under study, asset payos depend on exogenous random factors. Market participants use dynamic investment strategies taking account of available information about...
Persistent link: https://www.econbiz.de/10005859376
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Evolutionary Stability of Portfolio Rules in Incomplete Markets
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
theory, we derive necessary and suffcient conditions for the evolutionary stability of portfolio rules. In the case of Markov …
Persistent link: https://www.econbiz.de/10005859386
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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