This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction is modelled as managers' having relative performance concerns in their objectives, either due to money flows or behavioral considerations. We provide tractable...

The proliferation of alternative information sources has reduced the relevance of corporate annual reports. This paper examines economic outcomes in an oligopolistic industry as investors become better informed but financial reports convey a smaller portion of the total information. Results show...

This paper considers long-short portfolio optimization in the presence of two risk measures: variance and Conditional Value at Risk (CVaR) and asset choice constraints of (i) buy, sell and holding thresholds (ii) cardinality restrictions on the number of stocks to be held in the portfolio. The...

We study how the wealth-allocation decisions and the loss aversion of non-professional investors change subject to behavioral factors. The optimal wealth assignment between risky and risk-free assets results within a VaR portfolio model, where risk is individually assessed according to an...

We show that VaR (value-at-risk) is not time-consistent and discuss examples where this leads to dynamically inconsistent behavior. Then we propose two time-consistent alternatives to VaR. The first one is a composition of one-period VaR's. It has some of the theoretical drawbacks of static VaR...

We determine optimal consumption paths under a series of returns scenarios for charitable endowments with distinct tastes over investment risk and inter-temporal substitution. Charities typically prefer smooth consumption paths but are investment-risk tolerant. Using a recursive, Kreps-Porteus...

This note studies a firm's optimal hedging strategy with tailor-made exotic derivatives under both price risk and quantity risk. It extends the analysis of Brown and Toft (2002) by relaxing the distributional assumptions. The optimal pay-off function of a derivative contract is characterized in...

We combine data from a risk preference elicitation experiment conducted on a representative sample via the Internet with laboratory data on student subjects for the same experiment in order to investigate effects of implementation mode and of subject pool selection. We find that the frequency of...

In the emerging field of behavioral finance, including human behavior aspects and implications of cognitive phsychology and anthropology in decisions are considered. The formulated hypotheses were tested by way of 400 questionairres answered by students enrolled in MBA programs. The principal...

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jump-amplitude...