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Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique
Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490
Persistent link: https://www.econbiz.de/10012798425
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Estimating ambiguity aversion in a portfolio choice experiment
Ahn, David S.; Choi, Syngjoo; Gale, Douglas; Kariv, Shachar - In: Quantitative economics : QE ; journal of the … 5 (2014) 2, pp. 195-223
We report a portfolio-choice experiment that enables us to estimate parametric models of ambiguity aversion at the level of the individual subject. The assets are Arrow securities that correspond to three states of nature, where one state is risky with known probability and two states are...
Persistent link: https://www.econbiz.de/10011757224
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Overconfidence, risk aversion and individual financial decisions in experimental asset markets
Michailova, Julija; Mačiulis, Alminas; … - In: Economic research 30 (2017) 1,1, pp. 1119-1131
Persistent link: https://www.econbiz.de/10012224192
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Estimating ambiguity aversion in a portfolio choice experiment
Ahn, David S.; Choi, Syngjoo; Gale, Douglas; Kariv, Shachar - In: Quantitative economics : QE ; journal of the … 5 (2014) 2, pp. 195-223
Persistent link: https://www.econbiz.de/10010409967
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Portfolio choices : comparative statics under both expected return and volatility uncertainty
Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035
Persistent link: https://www.econbiz.de/10012515634
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Ambiguity attitudes in a large representative sample
Dimmock, Stephen G.; Kouwenberg, Roy; Wakker, Peter P. - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1363-1380
Persistent link: https://www.econbiz.de/10011487488
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Are people risk vulnerable?
Beaud, Mickael; Willinger, Marc - In: Management science : journal of the Institute for … 61 (2015) 3, pp. 624-636
Persistent link: https://www.econbiz.de/10010505824
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Algorithm aversion as an obstacle in the establishment of robo advisors
Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; … - 2022
Persistent link: https://www.econbiz.de/10013358792
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Recursive non-expected utility : connecting ambiguity attitudes to risk preferences and the level of ambiguity
Evren, Özgür - In: Games and economic behavior 114 (2019), pp. 285-307
Persistent link: https://www.econbiz.de/10012175407
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A new method of measuring financial risk aversion using hypothetical investment preferences : what does it say in the case of gender differences?
Meziani, A. Seddik; Noma, Elliot - In: The journal of behavioral finance : a publication of … 19 (2018) 4, pp. 450-461
Persistent link: https://www.econbiz.de/10012009752