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De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The prospect theory of Kahneman and Tversky (1979) and the cumulative prospect theory of Tversky and Kahneman (1992) are descriptive models for decision making that summarize several violations of the expected utility theory. This paper gives a survey of applications of prospect theory to the...

Persistent link: https://www.econbiz.de/10005858528

Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM

De Giorgi, Enrico; Post, Thierry - Institut für Schweizerisches Bankwesen <Zürich> - 2004

Starting from the reward-risk model for portfolio selection introduced in De Giorgi (2004), we derive the reward-risk Capital Asset Pricing Model (CAPM) analogously to the classical mean-variance CAPM. The reward-risk portfolio selection arises froman axiomatic definition of reward and risk...

Persistent link: https://www.econbiz.de/10005858901

A Note on Portfolio Selection under Various Risk Measures

De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952). We consider various risk measures, i.e. variance, value-at-risk and expected-shortfall and we study the efficient frontiers obtained by solving the portfolio...

Persistent link: https://www.econbiz.de/10005859370

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

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

In June 2003 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63% of all loan portfolios of Swiss banks. Since default insurance is not common in Switzerland, the corresponding risks are a severe threat for the health of the ﬁnancial system. We...

Persistent link: https://www.econbiz.de/10005858102

A Behavioral Foundation of Reward-Risk Portfolio Selection and the Asset Allocation Puzzle

De Giorgi, Enrico; Hens, Thorsten; Mayer, János - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In this paper we suggest a behavioral foundation for the reward-risk approach to portfolio selection based on prospect theory. We identify sufficient conditions for mutual fund separation in reward-risk models in general and for prospect theory in particular. It is shown that a prospect theory...

Persistent link: https://www.econbiz.de/10005858529

Dual representation of choice and aspirational preferences

Brown, David B.; De Giorgi, Enrico; Sim, Melvyn - 2010

The appendix can be found at: "http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2005194" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2005194 We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except...

Persistent link: https://www.econbiz.de/10003970449

Market efficiency reloaded: why insider trades do not reveal exploitable information

Dickgiesser, Sebastian; Kaserer, Christoph - 2008

by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs … from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid … mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market …

Persistent link: https://www.econbiz.de/10010305695

Market liquidity risk: an overview

Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10010305705

Measuring market liquidity risk - which model works best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10010305708