Capability Study Investor survey, this study examined the association between investment literacy and cryptocurrency investment … objective investment literacy was negatively while subjective literacy was positively associated with holding cryptocurrency …. This study has implications for investment advice, financial education and research …

We study the consumption and investment model under time-varying liquidity constraints (TVLC) that are widely used in …

relative risk aversion, and with stochastic investment opportunities. An optimal portfolio decomposes as a constant mix of a …

robustness to investment analysis. Importantly, the framework presented provides several of the “missing links” in asset …

The May 2010 Flash Crash and August 2007 Quant Meltdown raised concerns about the impact of quantitative investment … strategies on market stability. Theory is split on whether quantitative investing dampens or exacerbates market instability. To … test the theory we focus on mutual fund fire sales. We find that quantitative fund fire sales have a much larger impact on …

most (e.g., 80%) of the potential improvement. We adapt traditional portfolio theory to more recently popularized factor …

We examine whether the value of active investment management can exceed its cost, and find that it can, by a … known active investment strategy. For a “passive” benchmark, we develop a 225 year index of monthly U.S. equity market … an active investment strategy based on an actual 11-year investment strategy. We present a new performance model …