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A robust behavioral portfolio selection : model with investor attitudes and biases
Momen, Omid; Esfahanipour, Akbar; Seifi, Abbas - In: Operational research : an international journal 20 (2020) 1, pp. 427-446
Persistent link: https://www.econbiz.de/10012172938
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Effect of the anchoring and adjustment heuristic and optimism bias in stock market forecasts
Peña Vargas, Víctor; Gomez Mejia, Alina - In: Revista finanzas y política económica 11 (2019) 2, pp. 389-409
Persistent link: https://www.econbiz.de/10012630880
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Optimal Close-to-Home Biases in Asset Allocation
Varas, Felipe - 2009
This article studies optimal portfolio decisions with (long-term) liabilities for small-open economy based investors, including the optimality of currency hedging (Walker (2008a)). The representative investor is based in Chile, but results are likely to hold more generally. The problem is set up...
Persistent link: https://www.econbiz.de/10013157367
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Essays on adaptive learning in macroeconomics and finance
Lettau, Martin - 1994
Persistent link: https://www.econbiz.de/10000916150
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Portfolio allocation based on expected profit and loss measures
Venter, J. H.; Jongh, Pieter Juriaan de - In: The journal of investment strategies 9 (2020) 4, pp. 19-60
Persistent link: https://www.econbiz.de/10012598974
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Risk-averse multistage stochastic programs with expected conditional risk measures
Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10015066893
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Expected utility optimization with convolutional stochastically ordered returns
Gauchon, Romain; Barigou, Karim - In: Risks : open access journal 12 (2024) 6, pp. 1-19
Expected utility theory is critical for modeling rational decision making under uncertainty, guiding economic agents as …
Persistent link: https://www.econbiz.de/10014636719
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The (ir)rationality of the 1/N heuristic
Abate, Guido - In: International journal of behavioural accounting and … 4 (2014) 4, pp. 305-324
Persistent link: https://www.econbiz.de/10011349153
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The Kelly capital growth investment criterion : theory and practice
MacLean, Leonard C. (ed.); Thorp, Edward O. (ed.);  … - 2012
Persistent link: https://www.econbiz.de/10012875498
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Survival and evolutionary stability of the Kelly rule
Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - 2009
This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas...
Persistent link: https://www.econbiz.de/10003971097