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Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments
Bossaerts, Peter; Plott, Charles; Zame, William R. - 2003
Many tests of asset pricing models address only the pricing predictions — but these pricing predictions rest on portfolio choice predictions which seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices, based on unobserved heterogeneity. This approach...
Persistent link: https://www.econbiz.de/10005162941
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Risk Aversion in the Large and in the Small
HAUG, Jorgen; HENS, Thorsten; WOHRMANN, Peter
Estimates of agents' risk aversion dier between market studies and experimental studies. We demonstrate that the … background wealth as well as across risky outcomes: Risk aversion is similar whenever similar degrees of narrow framing is …
Persistent link: https://www.econbiz.de/10010550283
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Growing wealth with fixed-mix strategies
EVSTIGNEEV, Igor V.; SCHENK-HOPPE, Klaus Reiner
This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self …
Persistent link: https://www.econbiz.de/10008479294
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Variance Covariance Orders and Median Preserving
MALAMUD, Semyon; TROJANI, Fabio - 2009
A random variable dominates another random variable with respect to the covariance order if the covariance of any two monotone increasing functions of this variable is smaller. We characterize completely the covariance order, give strong sufficient conditions for it, present a number of examples...
Persistent link: https://www.econbiz.de/10005258363
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Insuring a risky investment project
Loubergé, Henri; Watt, Richard - 2006
exposed to an insurable risk affecting return on a real investment project. The model is kept simple by using a two …In the standard model for insurance demand, the risk is totally exogenous and the insurance premium is paid for out of … these papers, the risk for which coverage is sought becomes endogenous and the decision to purchase insurance is made …
Persistent link: https://www.econbiz.de/10005534201
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Stochastic Reference Points And The Dependence Structure
Giorgi, Enrico De; Post, Thierry - 2007
whole) exogenously fixed. In an application to well-known US investment benchmark data, investors invest in riskless T …
Persistent link: https://www.econbiz.de/10005162952
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Sacred values in financial economic decision-making: Experimental evidence
GIBSON, Rajna; TANNER, Carmen; WAGNER, Alexander F.
Seminal work in finance, economics, and psychology has documented that individuals tell the truth more often than standard economic models predict. But researchers have so far only indirectly inferred a preference for truth-telling from agents’ observed behavior. Using experiments, we explore...
Persistent link: https://www.econbiz.de/10005534174
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Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem
NESTOUR, Élise PAYZAN LE - 2010
bandit. In the experiment, optimal Bayesian learning tracks the jumps through learning of the probability of a jump or direct …
Persistent link: https://www.econbiz.de/10008922911
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The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading
GENCA, Ramazan; GIBSON, Rajna; XUE, Yi - 2009
In this study, we examine the rationale that informed traders use in choosing various financial instruments in order to speculate on the volatility of the underlying asset, here a common stock. Using a continuous-time trading model, we demonstrate that the quality of the private information...
Persistent link: https://www.econbiz.de/10005258356
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Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables
SERRANO, Camilo; HOESLI, Martin - 2009
Securitized real estate returns have traditionally been forecasted using economic variables. However, no consensus exists regarding the variables to use. Financial and real estate factors have recently emerged as an alternative set of variables useful in forecasting securitized real estate...
Persistent link: https://www.econbiz.de/10005258360