Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10005337830
By incorporating both majorization theory and stochastic dominance theory, this paper presents a general theory and a unifying framework for determining the diversification preferences of risk-averse investors and conditions under which they would unanimously judge a particular asset to be...
Persistent link: https://www.econbiz.de/10005023426
We study rankings of completely and partially diversified portfolios and also of specialized assets when investors follow so-called Markowitz preferences. It turns out that diversification strategies for Markowitz investors are more complex than in the case of risk-averse and risk-inclined...
Persistent link: https://www.econbiz.de/10009249546
This paper develops a model of weight assignments using a pseudo-Bayesian approach that reflects investors' behavioral biases. In this parsimonious model of investor sentiment, weights induced by investors' conservative and representative heuristics are assigned to observations of the earning...
Persistent link: https://www.econbiz.de/10008483219
Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some behavior foundations for various types of VaR models, including VaR and conditional-VaR, as...
Persistent link: https://www.econbiz.de/10008865375
Using the Markowitz mean–variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai et al. (2009) propose a bootstrap-corrected...
Persistent link: https://www.econbiz.de/10011052624