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Can Information Alleviate Overconfidence? A Randomized Experiment on Financial Market Predictions
Ida, Takanori - 2020
In this study, we examine how information provision affects the degree of overconfidence using an online experiment. The 4,210 experimental participants engaged in stock market prediction exercises were asked to evaluate their absolute and relative performance. We conducted a randomized...
Persistent link: https://www.econbiz.de/10012847379
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Portfolio Management with Dual Robustness in Prediction and Optimization : A Mixture Model Based Learning Approach
Zhu, Shushang - 2013
uncertainty. By using duality theory, we show that the robust portfolio selection problem via learning with a mixture model can be …
Persistent link: https://www.econbiz.de/10013076696
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Linear Algorithm for Portfolio Optimization with Third-Order Stochastic Dominance
Fang, Yi - 2018
We propose a novel linear approximation of expected utility. The approximation guides us as we transfer the traditional quadratic dependence of third-order stochastic dominance (TSD) into an equivalent linear system. The finding also shows a dual relationship between traditional low partial...
Persistent link: https://www.econbiz.de/10012911538
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Choosing what to pay attention to
Fulton, Chad - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 153-184
This paper studies static rational inattention problems with multiple actions and multiple shocks. We solve for the optimal signals chosen by agents and provide tools to interpret information processing. By relaxing restrictive assumptions previously used to gain tractability, we allow agents...
Persistent link: https://www.econbiz.de/10012806924
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False and missed alarms in seasonal forecasts affect individual adaptation choices
Hembach-Stunden, Katharina; Vorlaufer, Tobias; Engel, … - In: Q open : a journal of agricultural, climate, … 4 (2024) 1, pp. 1-22
risk of extreme climate conditions. However, being confronted with inaccurate forecast systems may undermine individuals …' responsiveness in the long run. Using an online experiment, we assess how false alarm and missed alarm-prone forecast systems …
Persistent link: https://www.econbiz.de/10015053857
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Robust Experimentation in the Continuous Time Bandit Problem
Pourbabaee, Farzad - 2020
We study the experimentation dynamics of a decision maker (DM) in a two-armed bandit setup (Bolton and Harris [1999]), where the agent holds ambiguous beliefs regarding the distribution of the return process of one arm and is certain about the other one. The DM entertains Multiplier preferences...
Persistent link: https://www.econbiz.de/10012852164
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The Optimal Level of Experimentation
Moscarini, Giuseppe; Smith, Lones - 2012
We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem - a control of variance of a diffusion with uncertain mean....
Persistent link: https://www.econbiz.de/10014142706
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The Optimal Level of Experimentation
Moscarini, Giuseppe; Smith, Lones - 2012
We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem --- a control of variance of a diffusion with uncertain mean....
Persistent link: https://www.econbiz.de/10014060773
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Forecasting Euro area real GDP : optimal pooling of information
Hülsewig, Oliver (contributor); Mayr, Johannes (contributor) - 2008
modeling, we construct the area-wide indicators by utilizing weights that minimize the variance of the out-of-sample forecast … errors of the area-wide target variable. In an out-of-sample forecast experiment we find that our optimal pooling of … information approach outperforms alternative forecasting methods in terms of forecast accuracy. -- Forecasting ; aggregation …
Persistent link: https://www.econbiz.de/10003749431
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Strategic Coordination in Forecasting. An Experimental Study
Bizer, Kilian - 2014
Reputational herding has been considered as a driving force behind economic and financial forecasts clustered around consensus values. Strategic coordination can consequently explain poor performances of prediction markets as resulting from the distinct incentives that forecasters face. While...
Persistent link: https://www.econbiz.de/10013056991