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Explaining hedge fund investment styles by loss aversion
Siegmann, Adriaan Hendrik; Lucas, André - 2002 - This version: May 7, 2002
financial decisionmaking. In this paper we present a simple model based on loss aversion that can accommodatefor all of these …
Persistent link: https://www.econbiz.de/10011326964
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Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements
Lizyayev, Andrey - 2010
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10011381581
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Loss modification incentives for insurers under expected utility and loss aversion
Soetevent, Adriaan R.; Zhou, Liting - 2014
Given the possibility to modify the probability of a loss, will a profit-maximizing insurer engage in loss prevention … or is it in his interest to increase the loss probability? This paper investigates this question. First, we calculate the … expected profit maximizing loss probability within an expected utility framework. We then use Köszegi and Rabin's (2006, 2007 …
Persistent link: https://www.econbiz.de/10010395085
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Impulsiveness moderates the effects of exogenous attention on the sensitivity to gains and losses in risky lotteries
Hirmas, Alejandro; Engelmann, Jan - 2022
sensitivity to both gain and loss values in their decision. Further analyses show that specifically participants with higher …
Persistent link: https://www.econbiz.de/10013332731
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Stock selection strategies in emerging markets
Hart, Jaap van; Slagter, Erica; Dijk, Dick van - 2001
Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in severaldirections. First, we examine a broader range of stock selection strategies, including strategiesbased on analysts'...
Persistent link: https://www.econbiz.de/10011313928
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High-frequency trading around large institutional orders
Kervel, Vincent van; Menkveld, Albert J. - 2017
Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading "with the wind," that is, in the same direction. We find that HFTs initially lean...
Persistent link: https://www.econbiz.de/10011725287
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Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey M. - 2009
This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...
Persistent link: https://www.econbiz.de/10011379506
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...
Persistent link: https://www.econbiz.de/10011382430
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Economic costs and benefits of imposing short-horizon value-at-risk type regulation
Shi, Zhen; Werker, Bas J. M. - 2011
Regulators often set value-at-risk (VaR) constraints to limit the portfolio risk of institutional investors. For some investors, notably pension funds, the VaR constraint is enforced over a horizon which is significantly shorter than the investment horizon of the investor. Our paper aims to...
Persistent link: https://www.econbiz.de/10011386148
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How banks respond to distress : shifting risks in Europe's banking union
Mink, Mark; Ramcharan, Rodney; Lelyveld, Iman van - 2020
This paper uses granular bond portfolio data to study how banking systems across the European Union (EU) adjust their asset holdings in response to regulatory solvency shocks. We also study the impact of these shocks at financial intermediaries on the prices of bonds in their portfolio. Despite...
Persistent link: https://www.econbiz.de/10012161046