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...

We design, field and exploit survey data from a representative sample of the French population to examine whether informative social interactions enter households'stockholding decisions. Re- spondents report perceptions about their circle of peers with whom they interact about financial matters,...

This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete time, the players start by choosing fair randomizations of the initial dollar, by exchanging it...

We study three fundamental components of financial agency settings: Perception and communication of investment profiles, the interaction of agents’ and clients’ preferences, and the role of (non-)monetary incentives. The perception of investment profile terminology is very heterogeneous,...

Many tests of asset pricing models address only the pricing predictions - but these pricing predictions rest on portfolio choice predictions which seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices, based on unobserved heterogeneity. This approach...

Choosing the appropriate risk criterion has always been one of the main challenges for financial and economic analysts. The goal of this research is to optimize the average portfolio using a multi-layer neural network. In this research, a new model of multilayer neural network has been...

We develop a new method to optimize portfolios of options in a market where European calls and puts are available with many exercise prices for each of several potentially correlated underlying assets. We identify the combination of asset-specific option payoffs that maximizes the Sharpe ratio...

High sentiment predicts low market returns and high arbitrage returns. This empirical evidence has important implications for portfolio optimization. Exploiting the eigenvalue-decomposition of the mean-variance portfolio, I show that its performance is the sum of two components: a market...