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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...
Persistent link: https://www.econbiz.de/10011382430
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Revisiting the home bias puzzle: Downside equity risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10010986470
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Revisiting the home bias puzzle: Downside equity risk
Campbell, Rachel A.; Kräussl, Roman - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10010298345
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Revisiting the Home Bias Puzzle. Downside Equity Risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10005600445
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Arjen - 2010 - This version: November 25, 2010
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...
Persistent link: https://www.econbiz.de/10008748092
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Risk Aversion Under Preference Uncertainty
Kräussl, Roman - 2012
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...
Persistent link: https://www.econbiz.de/10013115460
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A dynamic model of investor decision-making : how adaptation to losses affects future selling decisions
Lee, Carmen; Kräussl, Roman; Lucas, André; Paas, … - 2008
We conduct an experiment to test whether the size of a loss and the time in a losing position affect investors …’ adaptation to the loss situation and, subsequently, whether this adaptation affects future investment decisions. As investors … that a larger loss size and a longer time in a losing position are related to higher adaptation levels. These higher …
Persistent link: https://www.econbiz.de/10011377365
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Single stock call options as lottery tickets : overpricing and investor sentiment
Félix, Luiz; Kräussl, Roman; Stork, Philip - In: The journal of behavioral finance : a publication of … 20 (2019) 4, pp. 385-407
Persistent link: https://www.econbiz.de/10012180515
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Single stock call options as lottery tickets : overpricing and investor sentiment
Félix, Luiz; Kräussl, Roman; Stork, Philip - 2018
This paper investigates whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's (1992) cumulative prospect theory (CPT). We hypothesize that these options are expensive because investors overweight small probability events and overpay for...
Persistent link: https://www.econbiz.de/10011911548
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An dynamic model of investor decision-making
Lee, Carmen; Kräussl, Roman; Lucas, André; Paas, … - 2008
Persistent link: https://www.econbiz.de/10003813717