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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

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

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

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

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

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

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

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

Mutual Fund Competition in the Presence of Dynamic Flows

Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008

portfolio choice in the sense that they should offer the same risk/return tradeoff in equilibrium. This result brings …

Persistent link: https://www.econbiz.de/10005534180

Financial Market Equilibria With Cumulative Prospect Therory

Giorgi, Enrico De; Hens, Thorsten; Rieger, Marc Oliver - 2007

The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an infinite short-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...

Persistent link: https://www.econbiz.de/10005534185