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Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio

White, James - 2020

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

Persistent link: https://www.econbiz.de/10012838940

Prospect theory and asset allocation

Fortin, Ines; Hlouskova, Jaroslava - 2022

We study the asset allocation of an investor with prospect theory (PT) preferences. First, we solve analytically the two-asset problem of the PT investor for one risk-free and one risky asset and find that loss aversion and the reference return affect differently less ambitious investors and...

Persistent link: https://www.econbiz.de/10013259535

Ambiguity and investor behavior

Kostopoulos, Dimitrios; Meyer, Steffen; Uhr, Charline - 2020

We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of … an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …-taking which does not reverse over the following days. When ambiguity is high, the effect of sentiment looms larger. Survey …

Persistent link: https://www.econbiz.de/10012387918

Long/short equity hedge funds and systematic ambiguity

Gibson, Rajna; Ryabkov, Nikolay - 2014

This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we … measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and … we construct the systematic ambiguity factors from the universe of S&P 500 stocks. We estimate ambiguity betas for long …

Persistent link: https://www.econbiz.de/10010337996

Does Presenting Investment Results Asset by Asset Lower Risk Taking?

Anagol, Santosh - 2013

We examine how the presentation of investment results affects risk taking using an experiment in which participants view results either asset by asset or aggregated into a portfolio result. Our experiment examines the investment choices of a nationwide sample of 249 participants in a simulation...

Persistent link: https://www.econbiz.de/10013094529

Optimal Asset Allocation with Fixed-Term Securities

Desmettre, Sascha - 2015

optimal allocation to fixed-term securities, and provide a representation of trading strategies in terms of a liquidity …

Persistent link: https://www.econbiz.de/10013032300

Robo-advising : Learning Investors' Risk Preferences via Portfolio Choices

Alsabah, Humoud - 2020

We introduce a reinforcement learning framework for retail robo-advising. The robo-advisor does not know the investor's risk preference, but learns it over time by observing her portfolio choices in different market environments. We develop an exploration-exploitation algorithm which trades off...

Persistent link: https://www.econbiz.de/10012851639

A Critique of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm

Otuteye, Eben - 2017

Modern Portfolio Theory, the Capital Asset Pricing Model, and the Efficient Market Hypothesis are the cornerstone concepts in both academic and professional curricula. In spite of their long history and reputation, the CAPM and its extensions are not able to yield satisfactory empirical results....

Persistent link: https://www.econbiz.de/10012948474

How Investment Management Fees Hurt Investors

Ferguson, Robert - 2018

A widespread concern in the investment industry is whether commonly used investment management fee arrangements encourage investment managers to act in their clients' interests. The value to managers of a one-period call performance fee is maximized by maximizing performance volatility. This is...

Persistent link: https://www.econbiz.de/10012929879

The Impact of Psychological Factors on Investment Decision Making of Investors : An Empirical Analysis

Gupta, Yamini - 2016

In the traditional financial theory, the decision makers were assumed to be rational and stock markets were thought out to be the perfect markets i.e. whatever information is available in the market is fully reflected in share prices and nobody can earn extra profits just by having insider's...

Persistent link: https://www.econbiz.de/10012978125