We experimentally investigate whether the satisficing approach is absorbable, i.e., whether it still applies after participants become aware of it. In a setting where an investor decides between a riskless bond and either one or two risky assets, we familiarize participants with the satisficing...

In this paper, we propose a new empirical version of the Fama and French Model based on the Hausman (1978) specification test and aimed at discarding measurement errors in the variables. The proposed empirical framework is general enough to be used for correcting other financial and accounting...

This paper examines the impact of estimation error in a simple single-period portfolio choice problem when the investor has power utility and asset returns are jointly lognormally distributed. These assumptions imply that such an investor selects portfolios using a modified mean-variance...

This paper investigates the farm level impacts of multiple peril yield and revenue insurance in an expected value-variance framework. The analysis is conducted using stochastic simulation jointly with numerical optimisation. Simulation is used to compute the means and variances of revenues as...

Markowitz portfolio selection is challenged by huge implementation barriers. This paper addresses the parameter uncertainty and deviation from normality in a Bayesian framework. The non-normal asset returns are modeled as finite Gaussian mixtures. Gibbs sampler is employed to obtain draws from...

An investor with the ability to assess the prospective return and risk structure of the global capital markets can construct portfolios that, over time, will not only outperform actively or passively managed domestic asset portfolios but will also outperform passively managed global portfolios....

Selecting program portfolios within a budget constraint is an important challenge in the management of new product development (NPD). Optimal portfolios are difficult to define because of the combinatorial complexity of project combinations. However, at the aggregate level of the strategic...

This paper provides a new portfolio selection rule. The objective is to minimize the maximum individual risk and we use an l_\infty function as the risk measure. We provide an explicit analytical solution for the model and are thus able to plot the entire efficient frontier. Our selection rule...

In a dynamic investment situation, the right timing of portfolio revisions and adjustments is essential to sustain long-term growth. A high rebalancing frequency reduces the portfolio performance in the presence of transaction costs, whereas a low rebalancing frequency entails a static...

We compare three network portfolio selection methods; hierarchical clustering trees, minimum spanning trees and neighbor-Nets, with random and industry group selection methods on twelve years of data from the 30 Dow Jones Industrial Average stocks from 2001 to 2013 for very small private...