Does economic policy uncertainty affect household stockholding? To answer this question we create a novel measure of … household exposure to economic policy uncertainty news by combining survey information on the hours a household spends in … more exposure to economic policy uncertainty news are less likely to invest in stocks directly or through mutual funds …

This paper studies asymmetric profitability of the momentum trading strategy. When investors face Knightian uncertainty … increases with the level of market and idiosyncratic uncertainty relating to the fundamental value of stocks. We provide a model …

expected cardinal utility is equivalent to maximizing the probability to meet a (uncertain) goal. It follows that the … may violate those dictated by the rational expected utility. From the point of view of real financial markets … couples sound axiomatic fundamentals with a user-friendly language. According to the benchmarking modelling, to maximizing the …

We consider an investor who faces parameter uncertainty in a continuous-time financial market. We model the investor …'s preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is …

I investigate a dynamic life-cycle strategic asset allocation and consumption problem under model uncertainty, where … uncertainty aversion parameter, which measures the investor's preference for robustness using econometric theory. I derive a … closed-form solution for a robust investor characterized by min-max utility preference to insure against the worst case …

. The latter involves decisions under ambiguity, decisions under risk, decisions after gaining experience and decisions … after receiving outcome information on previous decisions. We find that in all decisions risk taking can be predicted by …

Does economic policy uncertainty affect household stockholding? To answer this question we create a novel measure of … household exposure to economic policy uncertainty news by combining survey information on the hours a household spends in … a higher exposure to economic policy uncertainty news are less likely to invest in stocks held directly or through …

I investigate a dynamic life-cycle strategic asset allocation and consumption problem under model uncertainty, where … uncertainty aversion parameter, which measures the investor's preference for robustness using econometric theory. I derive a … closed-form solution for a robust investor characterized by min-max utility preference to insure against the worst case …