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Welfare effects of information and rationality in portfolio decisions under parameter uncertainty

Longo, M.; Mainini, A. - In: Quantitative finance 18 (2018) 12, pp. 2035-2050

Persistent link: https://www.econbiz.de/10012262961

Why Do Wealthy Investors have a Higher Return on their Stocks?

Bonaparte, Yosef - 2021

An analysis of the Survey of Consumer Finance shows that wealthy investors have a higher return on their stocks than their poorer counterparts. Three key empirical facts emerge: (i) wealthy investors employ more productive search efforts, (ii) financial risk bearing and search efforts are...

Persistent link: https://www.econbiz.de/10013238155

Reward-Risk Ratios

Cheridito, Patrick - 2013

We introduce three new families of reward-risk ratios, study their properties and compare them to existing examples. All ratios in the three families are monotonic and quasi-concave, which means that they prefer more to less and encourage diversification. Members of the second family are also...

Persistent link: https://www.econbiz.de/10013090253

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993

rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and …‐free rate in data and measure the uncertainty each period conditional on the actual, observed history of (U.S.) macroeconomic … growth outcomes. Ambiguity aversion accentuates the effect of conditional uncertainty endogenously in a dynamic way …

Persistent link: https://www.econbiz.de/10011994544

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and …-free rate in data and measure the uncertainty each period conditional on the actual, observed histroy of (U.S.) macroeconomic … growth outcomes. Ambiguity aversion accentuates the conditional uncertainty endogenously in a dynamic way, depending on the …

Persistent link: https://www.econbiz.de/10011756113

Ambiguity, long-run risks, and asset prices

Wei, Bin - 2021

I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...

Persistent link: https://www.econbiz.de/10012617667

Individuals’ Affect-Based Motivations to Invest in Stocks : Beyond Expected Financial Returns and Risks

Aspara, Jaakko - 2010

While there has been a growing interest in the role that company affect plays in investment decisions, there have been few empirical examinations of the issue. The specific purpose of this article is to provide empirical evidence of whether an individual investor's affect towards a company...

Persistent link: https://www.econbiz.de/10013138844

Are Investors Ever Rational?

Mukherjee, Saptarshi - 2012

numerous anomalies observed in the markets. Also, it has been argued that information uncertainty tends to exacerbate these …

Persistent link: https://www.econbiz.de/10013099978

Rational Information Choice in Financial Market Equilibrium

Muendler, Marc-Andreas - 2021

Adding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well defined law of demand for financial information when asset return distributions are conjugate priors to signals such as in the gamma-Poisson case. Signals have a positive marginal...

Persistent link: https://www.econbiz.de/10013318614

Are Investors Ever Rational?

Mukherjee, Saptarshi - 2014

numerous anomalies observed in the markets. Also, it has been argued that information uncertainty tends to exacerbate these …

Persistent link: https://www.econbiz.de/10013057707