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ambiguous urn. Holding other information identical and controlling for the level of ambiguity, we find that labeling assets as … ambiguity robust mean-variance model accurately predicts benchmark portfolio weights of the experimental control group, where … assets are not labeled: subjects allocate more wealth to assets with low ambiguity. For treatment group portfolios, which …
Persistent link: https://www.econbiz.de/10010340322
experimental approach, we analyze the impact of risk, imprecision in probabilities (ambiguity), imprecision in outcomes, and a …
Persistent link: https://www.econbiz.de/10012008802
populated by bothstandard expected utility maximizers and by ambiguity-averse investors that trade in the market fora risky … asset. We show that, provided there is a sufficient amount of ambiguity, market breakdownswhere large portions of traders …
Persistent link: https://www.econbiz.de/10005870697
This paper examines a continuous-time intertemporal consumption and portfolio choice problem foran ambiguity …
Persistent link: https://www.econbiz.de/10005870701
We consider individual's portfolio selection problems. Introducing the concept of ambiguity, we show the existence of … are represented by the Choquet integral with respect to the inner measure. Under the concept of ambiguity, it is … probabilities. Furthermore, we study the difference between ambiguity and uncertainty by considering investors' behavior. …
Persistent link: https://www.econbiz.de/10010332296
We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of … an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …-taking which does not reverse over the following days. When ambiguity is high, the effect of sentiment looms larger. Survey …
Persistent link: https://www.econbiz.de/10012387918
This paper sets up an experimental asset market in the laboratory to investigate the effects of ambiguity on price … formation and trading behavior in financial markets. The obtained trading data is used to analyze the effect of ambiguity on … trading) and to test the quality of popular empirical market-based measures for the degree of ambiguity. We find that …
Persistent link: https://www.econbiz.de/10012663127
problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity … conclusions in both markets: first, price diffusion and jump ambiguity mainly determine detection-error probability; second …, optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity, and trivially affected by …
Persistent link: https://www.econbiz.de/10014289085
This paper investigates (i) the robustness of hindsight bias in experimental assetmarkets, (ii) the time invariance of the different experimental risk elicitationmethods of certainty equivalents and binary lottery choices, and (iii) their correspondence.The results of our within-subjects...
Persistent link: https://www.econbiz.de/10005867042
We experimentally test overconfidence in investment decisions by offering participants the possibility to substitute their own for alternative investment choices.Overall, 149 subjects participated in two experiments, one with just one risky asset, the other with two risky assets. Overconfidence...
Persistent link: https://www.econbiz.de/10005867326