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Portfolio selection with narrow framing : probability weighting matters

De Giorgi, Enrico; Legg, Shane - 2009 - This version: June 9, 2009

This paper shows that the framework proposed by Barberis and Huang (2009) to incorporate narrow framing and loss aversion into dynamic models of portfolio choice and asset pricing can be extended to also account for probability weighting and for a value function that is convex on losses and...

Persistent link: https://www.econbiz.de/10003970464

Mutual funds and risk disclosure : information content of fund prospectuses

Krakow, Jonathan; Schäfer, Timo - 2020

Mutual funds are mandated by the Securities and Exchange Commission (SEC) to disclose information on their investment … that regular content-based updates of the disclosed risks provide relevant information in predicting future fund … performance. Investors, however, do not react to this new information but rather to the content's informativeness. Finally, using …

Persistent link: https://www.econbiz.de/10012271034

Optimal incentives and securitization of defaultable assets

Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2011

We study optimal securitization of defaultable assets in a continuous time setting. A financial intermediary can create a portfolio of defaultable assets and then sell it to outside investors. The default risk of the assets in the portfolio is determined by the unobservable costly effort exerted...

Persistent link: https://www.econbiz.de/10009375121