Showing 1 - 10 of 3,308
This paper studies the impact of loss aversion on decisions regarding the allocation of wealth between risky and risk-free assets. We use a Value-at-Risk portfolio model with endogenous desired risk levels that are individually determined in an extended prospect theory framework. This framework...
Persistent link: https://www.econbiz.de/10008464602
Der vorliegende Beitrag quantifiziert anhand eines Marktmikrostruktur-Modells mit asymmetrischer Information den Einfluss der Anwender praktischer Entscheidungsregeln auf die Aktienkurse. Letztere werden als unvollständig informierte Anleger betrachtet. Neben diesen Anlegern agieren auf dem...
Persistent link: https://www.econbiz.de/10008464623
This paper presents a model in which rational and emotional investors are compelled to make decisions under uncertainty in order to ensure their survival. Using a neurofinancial setting, we show that, when different investor types fight for market capital, emotional traders tend not only to...
Persistent link: https://www.econbiz.de/10008464642
This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully...
Persistent link: https://www.econbiz.de/10008464666
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...
Persistent link: https://www.econbiz.de/10005800473
Several central banks in emerging economies are concerned with excessive volatility in foreign exchange markets and would like to control the direction and speed with which the value of their currency changes. Historically, currency market interventions have consisted of using foreign exchange...
Persistent link: https://www.econbiz.de/10011183096
This paper proposes a new, individual measure of market risk, denoted as the individually acceptable loss (IAL). This measure can be used by portfolio managers in order to better meet the individual profiles of their non-professional clients, including phsychological traits. It can be easily...
Persistent link: https://www.econbiz.de/10011183100
This paper focuses on the attitude of non-professional investors towards financial losses and their decisions on wealth allocation, and how these change subject to behavioral factors. Our contribution concerns the integration of behavioral elements into the classic portfolio optimization....
Persistent link: https://www.econbiz.de/10011183107
Despite the financial sector liberalization and openness that started in the earlier 90’s and significant macroeconomic development as well as increasing inflow of capital toward the region, there is not any evidence of the reduction of interest rates as well as banks’ profits in Latin...
Persistent link: https://www.econbiz.de/10010787788
Regulators in emerging markets are increasingly curtailing the practice of foreigncurrency lending. In such a move Turkish regulatory authorities banned foreign currencylending to households in 2009. This paper examines the evolution of financial dollarization inTurkey in the 2002–2009 period...
Persistent link: https://www.econbiz.de/10011029810