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Time Varying Risk Aversion, Familiarity Bias, and Portfolio Concentration During Market Uncertainty

Skiba, Hilla - 2013

of traditional finance theory. Even after controlling for market segmentation and “investability” of foreign markets … market uncertainty. My empirical hypotheses are based on a psychological theory that relates uncertainty in the markets to … increases in investors' risk aversion which in turn increases investors' proneness to familiarity bias. I hypothesize that …

Persistent link: https://www.econbiz.de/10013083023

Rational Decision-Making under Uncertainty : Observed Betting Patterns on a Biased Coin

Haghani, Victor - 2016

What would you do if you were invited to play a game where you were given $25 and allowed to place bets for 30 minutes on a coin that you were told was biased to come up heads 60% of the time? This is exactly what we did, gathering 61 young, quantitatively trained men and women to play this...

Persistent link: https://www.econbiz.de/10012980760

Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55

investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss … attractive attracted under risk conditions. …

Persistent link: https://www.econbiz.de/10014246136

A Horse Race of Preferences for Predicting Portfolio Choice

Li, King King - 2021

, the effect of confidence (Kyle and Wang, 1997) is stronger than that of risk aversion, which is stronger than the effects …

Persistent link: https://www.econbiz.de/10013243831

Return predictability, expectations, and investment: experimental evidence

Andries, Marianne; Bianchi, Milo; Huynh, Karen K.; … - 2024

Persistent link: https://www.econbiz.de/10015097556

Return predictability, expectations, and investment : experimental evidence

Andries, Marianne; Bianchi, Milo; Huynh, Karen; Pouget, … - 2024

Persistent link: https://www.econbiz.de/10014581652

Behavioral Biases in the Uncertainty Quantification Process

Jose, Victor Richmond R - 2023

Humans play important roles in the process of quantifying uncertainty. The participation of humans in this important exercise opens the process to behavioral biases. In this paper, we examine the different types of biases that may occur when quantifying uncertainty using a process-oriented...

Persistent link: https://www.econbiz.de/10014344457

An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios

Gan, Guojun - 2016

Variable annuities contain complex guarantees, whose fair market value cannot be calculated in closed form. To value the guarantees, insurance companies rely heavily on Monte Carlo simulation, which is extremely computationally demanding for large portfolios of variable annuity policies....

Persistent link: https://www.econbiz.de/10012984366

Does investor risk perception drive asset prices in markets? : experimental evidence

Huber, Jürgen; Palan, Stefan; Zeisberger, Stefan - 2017

Persistent link: https://www.econbiz.de/10011736417

On the optimal strategy for the hedge fund manager : an experimental investigation

Permana, Yudistira - In: Cogent business & management 7 (2020) 1, pp. 1-20

This paper examines the empirical validity of Nicolosi's optimal strategy for a hedge fund manager under a specific payment contract. The contract specifies that the manager's payment consists of a fixed payment and a variable payment, which is a performance-based payment. The model assumes that...

Persistent link: https://www.econbiz.de/10012650294