Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that...

The CAPM is generally contested on an empirical basis.The tests conducted with data from financial markets do not generally imply the acceptance of the model as describing correctly the range of expected returns. When regressing returns of individual assets on the market portfolio, R2 are...

In this paper, we set the basis for learning a multitype assets portfolio management technique relying on no assumptions over the distributions of the financial data. The neural network based model tries to capture patterns in the evolution of the market. Furthermore, the model allows a...

In this paper the relatively new technique of neural nets is integrated in a traditional model of portfolio choice. On the basis of Arrow’s State Preference Model the investment decision depends on the expectation building process which consists of two components. The individual information...

This paper explores the relationship between risk attitude and asset diversification in household portfolios. We first examine the impact of manifested risk aversion on the total number of distinct assets held in a portfolio (naive diversification). The second part of the paper focuses on a more...

This study questions the popular stereotype that women are more risk averse than men in their financial investment decisions. The analysis is based on micro-level data from large-scale surveys of private households in five European countries. In our analysis of investment decisions, we directly...

Accurate credit-granting decisions are crucial to the efficiency of the decentralized capital allocation mechanisms in modern market economies. Credit bureaus and many financial institutions have developed and used credit-scoring models to standardize and automate, to the extent possible, credit...

Why don't people buy annuities? Several explanations have been provided by the previous literature: large fraction of preannuitized wealth in retirees' portfolios; adverse selection; bequest motives; and medical expense uncertainty. This paper uses a quantitative model to assess the importance...

This paper examines the effect of a decline in health on the savings and portfolio choice of young, working individuals and the differences between insured and uninsured cohorts using the 2001 Survey of Income and Program Participation. We find that insured individuals are significantly likely...

We investigate whether the willingness to take investment risk is a sex-linked trait and link the results to the country's gender equality regime. Our empirical analysis involves household data on financial asset holdings as well as on self-reported risk tolerance for Austria, Italy, the...