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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
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Returns to talent and the finance wage premium
Célérier, Claire; Vallée, Boris - In: The review of financial studies 32 (2019) 10, pp. 4005-4040
Persistent link: https://www.econbiz.de/10012108172
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The sale of multiple assets with private information
He, Zhiguo - In: The review of financial studies 22 (2009) 11, pp. 4787-4820
Persistent link: https://www.econbiz.de/10003898947
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Portfolio performance and agency
Dybvig, Philip H.; Farnsworth, Heber K.; Carpenter, … - In: The review of financial studies 23 (2010) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10003941594
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Discussion of "Sidelined investors, trading-generated news, and security returns"
Veronesi, Pietro - In: The review of financial studies 15 (2002) 2, pp. 649-654
Persistent link: https://www.econbiz.de/10001688860
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Portfolio liquidity and security design with private information
DeMarzo, Peter M.; Frankel, David M.; Jin, Yu - In: The review of financial studies 34 (2021) 12, pp. 5841-5885
Persistent link: https://www.econbiz.de/10012694508
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Transparency and talent allocation in money management
Gervais, Simon; Strobl, Günter - In: The review of financial studies 33 (2020) 8, pp. 3889-3924
Persistent link: https://www.econbiz.de/10012249757
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The economic value of distributional timing
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a sighifiant cost would arise. The performance...
Persistent link: https://www.econbiz.de/10003548056
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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
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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