This paper suggests that changing risk conveys information useful to improve performance. …

The thesis at hand shows how to determine individual risk aversion with different discrete choice models, with gambles …

Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally-based risk …

axiomatic model of risk-averse preferences, where decision makers areassumed to possess an expected utility function and the …

different experimental risk elicitation methods of certainty equivalents and binary lottery choices, and their correspondence. …

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 … that returns are normally distributed, the efficient frontiers obtained by taking value-at-risk or expected-shortfall are …

, participantswell recognize changes in the systematic risk of equity associated with increasingleverage and, accordingly, demand higher … rate of return. Yet, this adjustment is notperfect: subjects underestimate the systematic risk of low-leveraged equity … whereasthey overestimate the systematic risk of high-leveraged equity, resulting in a U-shapedcost of capital. A (control …