We study portfolio diversification in an experimental decision task, where asset returns depend on a draw from an ambiguous urn. Holding other information identical and controlling for the level of ambiguity, we find that labeling assets as being familiar or from the homeland of subjects...

For US investors, international equity exposure has never been so readily available at such a low cost. Nonetheless, surveys indicate US investors typically allocate 80–85% of their equity holdings to US equities, much higher than their proportion of global market value. In this note we...

Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor's 500 stock index (S&P 500 stock index) may...

Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the S&P 500 stock index may induce an increase in the domestic...

American investors tilt to overinvest domestically, well-known as a home bias puzzle. Hedging various types of domestic risks, differences in taxes and transaction costs, informational frictions and behavioral effects are commonly employed in an attempt to explain the home bias puzzle. We show...

This paper explores how the scarcity of cognitive resources affects portfolio decisions. I consider an economy where investors allocate mental effort to learn about the mean return of a number of assets, by retrieving information from a stock of memories. As a result, parameter uncertainty...

We investigate the degree to which cryptocurrencies provide diversification benefits to an investor. We use a stochastic spanning methodology to construct optimal portfolios with and without cryptocurrencies, evaluating their comparative performance both in- and out-of-sample. Empirical analysis...

It is known that investors over-invest in "home" assets. Yet, there is much debate on whether superior information or sentiment drives this behavior. Using the sports-betting market as a real-market laboratory, we find individuals exhibit a bias toward home-team wagers, which does not yield...

This paper experimentally tests the Fox-Tversky (1995) source preference hypothesis as axiomatized in Chew and Sagi (2008) where people may have preference between equally distributed risks depending on the underlying sources of uncertainty. We study two forms of source preference. One is based...

We ran a field experiment to investigate whether nudge policies, consisting in behavioural insight messaging, help to improve performance in financial trading. Our experiment involved students enrolled in a financial trading course in an Italian University who were invited to trade on Borsa...