Similar Search Results

On the evolutionary stability of the sentiment investor

Antico, Andrea; Bottazzi, Giulio; Giachini, Daniele - 2022

described using expected utility maximising agents that adopt incorrect beliefs. Along these lines, Barberis et al. (1998 …

Persistent link: https://www.econbiz.de/10013161531

Alternative views on the link between risk aversion and diminishing marginal utility of wealt

Menzl, Vojtěch - In: European financial and accounting journal : EFAJ 16 (2021) 2, pp. 51-72

-based support for the concept of relative utility and reconfirmation of the meaningful role of behavioural finance in economics and …Although the link between risk aversion and diminishing marginal utility of wealth is academically well established …

Persistent link: https://www.econbiz.de/10012807566

Unraveling the value premium : a reward for risk or mispricing?

Serur, Claudio E.; Siri, Julián R.; Serur, Juan Andrés; … - 2019

A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper...

Persistent link: https://www.econbiz.de/10012125294

Affective Utilities : A Rational Theory of Optimistic Bias in Asset Markets

Bracha, Anat - 2014

utilities is a new class of non-expected utility functions representing the attitudes of investors for optimism or pessimism …

Persistent link: https://www.econbiz.de/10013051869

Ambiguity and investor behavior

Kostopoulos, Dimitrios; Meyer, Steffen; Uhr, Charline - 2020

We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased...

Persistent link: https://www.econbiz.de/10012387918

Standard risk aversion and the demand for risky assets in the presence of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

Persistent link: https://www.econbiz.de/10001544833

How Much Should Life-Cycle Investors Adapt Their Behavior When Confronted with Model Uncertainty?

Shen, Sally - 2016

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 …

Persistent link: https://www.econbiz.de/10012997223

How Much Should Life-Cycle Investors Adapt their Behavior when Confronted with Model Uncertainty?

Shen, Sally - 2015

Persistent link: https://www.econbiz.de/10013033028

Can Asset Allocation Limits Determine Portfolio Risk-Return Profiles in DC Pension Schemes?

Gutierrez, Tomás - 2018

In defined contribution (DC) pension schemes, the regulator usually imposes asset allocation constraints (minimum and maximum limits by asset class) in order to create funds with different risk-return profiles. In this article we challenge this approach and show that such funds exhibit erratic...

Persistent link: https://www.econbiz.de/10012913303

Investors Facing Risk : Prospect Theory and Non-Expected Utility in Portfolio Selection

Rengifo, Erick W. - 2013

This paper focuses on the attitude of non-professional investors towards financial losses and their decisions on wealth … subjective valuation of risky investments. The utility of financial investments is overemphasized (myopia). The portfolio model …

Persistent link: https://www.econbiz.de/10013075905