Ambiguity and learning about the equity premium can simultaneously explain the low fraction of financial wealth allocated to stocks over the life cycle and the stock market participation puzzle. Individuals are ambiguous about the size of the equity premium and are averse to this ambiguity,...

The mutual fund industry consists of heterogeneous managers and investors. Hence, traditional models of delegated portfolio management need to be extended to allow heterogeneity. We propose that this extension can be modeled as a dual matching-contracting problem of endogenously repeated trust...

The disposition effect is regarded as a property of an individual stock: If an investor has made a loss on a stock, he or she is less likely to sell it, whereas if an investor has made a gain on a stock, he or she is more likely to sell it. This means that the more stocks in a portfolio are in...