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...

This paper reports the results of a behavioural finance experiment on the ability of Thai individuals to make informed investment decisions under a defined contribution self-management option. Using an asset allocation dataset from members of the Thai Government Pension Fund (TGPF) and a control...

We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown...

We estimate investors' attention level to mutual fund fees based on a parsimonious asset allocation model with limited attention in an experimental setting. We find that, on average, investors allocate 62.5% of their full attention to mutual fund fees. We also find that cognitive ability is an...

Overall, 72 subjects invest their endowment in four risky assets. Each com-bination of assets yields the same expected return and variance of returns. Illusion of expertise prevails when one prefers nevertheless the self-selected portfolio. After being randomly assigned to groups of four...

Socially responsible investment funds (SRIs) have grown dramatically as an investment alternative in most of the developed world. This is an important development from a managerial perspective since the criteria used to qualify for inclusion in these funds could influence the decisions and...

Despite a vast theoretical literature that builds on costly information acquisition, there is no direct evidence on the importance of information costs in investors’ private information choices. Using a large sample of Chinese mutual fund managers’ visits to firm headquarters and exploiting...