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The Growth of Relative Wealth and the Kelly Criterion

Lo, Andrew W. - 2019

pressures allocate their wealth between two assets. By considering both absolute wealth and relative wealth between investors … wealth, the Kelly criterion is optimal only under certain conditions which are identified. The initial relative wealth plays … myopic across a single time period, or is maximizing wealth with an infinite horizon. We relate these results to population …

Persistent link: https://www.econbiz.de/10012902422

Measuring risk preferences and asset-allocation decisions : a global survey analysis

Lo, Andrew W.; Remorov, Alexander; Ben Chaouch, Zied - In: Journal of investment management : JOIM 18 (2020) 3, pp. 5-50

Persistent link: https://www.econbiz.de/10012589063

What would be their effects on financial markets and institutions?

Lo, Andrew W.; Heaton, John - 1993

Persistent link: https://www.econbiz.de/10000996822

Reconciling Efficient Markets with Behavioral Finance : The Adaptive Markets Hypothesis

Lo, Andrew W. - 2015

The battle between proponents of the Efficient Markets Hypothesis and champions of behavioral finance has never been more pitched, and little consensus exists as to which side is winning or the implications for investment management and consulting. In this article, I review the case for and...

Persistent link: https://www.econbiz.de/10013038481

Hedge fund holdings and stock market efficiency

Cao, Charles Q.; Liang, Bing; Lo, Andrew W.; Petrasek, … - 2014

Persistent link: https://www.econbiz.de/10010433420

Hedge Fund Holdings and Stock Market Efficiency

Cao, Charles - 2017

We study the relation between hedge fund equity holdings and measures of informational efficiency of stock prices derived from intraday transactions, as well as daily data. Our findings support the role of hedge funds as arbitrageurs who reduce mispricing in the market. Hedge funds invest in...

Persistent link: https://www.econbiz.de/10012969070

Hedge Fund Holdings and Stock Market Efficiency

Cao, Charles - 2014

We examine the relation between changes in hedge fund stock holdings and measures of informational efficiency of equity prices derived from transactions data, and find that, on average, increased hedge fund ownership leads to significant improvements in the informational efficiency of equity...

Persistent link: https://www.econbiz.de/10013053677

The risk, reward, and asset allocation of nonprofit endowment funds

Lo, Andrew W.; Matveyev, Egor; Zeume, Stefan - 2020 - Last revised: March 2020

We collect tax return data from all 311,222 public NPOs in the United States over the 2009-2017 period to study the asset allocation choices and investment returns of their endowment funds. One in nine public NPOs have endowment funds. The majority of funds allocate their assets conservatively...

Persistent link: https://www.econbiz.de/10012501582

The growth of relative wealth and the Kelly criterion

Lo, Andrew W.; Orr, H. Allen; Zhang, Ruixun - In: Journal of bioeconomics 20 (2018) 1, pp. 49-67

Persistent link: https://www.econbiz.de/10012055186

Hedge fund holdings and stock market efficiency

Cao, Charles Q.; Liang, Bing; Lo, Andrew W.; Petrasek, … - In: Review of asset pricing studies 8 (2018) 1, pp. 77-116

Persistent link: https://www.econbiz.de/10012001539

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