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Searching for information
Han, Jungsuk; Sangiorgi, Francesco - 2015
This paper provides a microfounded information acquisition technology based on a simple framework with information search. When searchable information is limited, an agent encounters increasingly more redundant information in his search for new information. Redundancy slows down the learning...
Persistent link: https://www.econbiz.de/10010529422
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Learning under ambiguity : a note on the belief dynamics of Epstein and Schneider (2007)
Heyen, Daniel - 2014
Epstein and Schneider (2007) develop a framework of learning under ambiguity, generalizing maxmin preferences of Gilboa …-post rejection of theories gives rise to choices that are in sharp contradiction with ambiguity aversion. Concrete, the intertemporal …
Persistent link: https://www.econbiz.de/10010424809
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Ambiguous Information, Portfolio Inertia, and Excess Volatility
Illeditsch, Philipp K. - 2011
I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices … ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, then investors may not react …
Persistent link: https://www.econbiz.de/10013133587
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Ambiguous Information, Risk Aversion, and Asset Pricing
Illeditsch, Philipp K. - 2011
I study the effects of aversion to risk and ambiguity (uncertainty in the sense of Knight (1921)) on the value of the … ambiguity can explain high expected stock market returns and excess volatility and kurtosis of stock market returns. Moreover …
Persistent link: https://www.econbiz.de/10013134524
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Shadow Probability Theory for Asset Pricing under Ambiguity
Izhakian, Yehuda (Yud) - 2011
under ambiguity, called Shadow probability theory, a generalization of the Choquet expected utility. In this model … probability space. The level of ambiguity, and the decision maker's attitude toward it, are measured with respect to the directing …. The desired distinction between preferences and beliefs and between risk and ambiguity is then obtained. A measure of …
Persistent link: https://www.econbiz.de/10013119880
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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...
Persistent link: https://www.econbiz.de/10013093548
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Asset Selection and Under-Diversification with Financial Constraints and Income : Implications for Household Portfolio Studies
Roche, Hervé - 2014
Empirical Studies of household portfolios have shown that young and relatively poor households hold under-diversified portfolios that are concentrated in a small number of assets, a fact often attributed to various behavioral biases. We present a model in which relatively poor investors, i.e.,...
Persistent link: https://www.econbiz.de/10013069115
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How Efficient Use of Information Changes Portfolio Allocations
Kemkhadze, Nato - 2013
Unknown model parameters, like expected returns, cannot be accurately estimated from short samples. Respective estimation error most likely leads to the portfolio, inconsistent with its target risk/return profile. We investigate the ways of reducing the impact of estimation error on portfolio...
Persistent link: https://www.econbiz.de/10013071700
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Strengthening Banks' Portfolio Against Asset Shocks : A Genetic Computational Approach
Gurciullo, Stefano - 2013
This thesis investigates models of market risk assessment based on genetic algorithms, with specific reference to asset portfolio choice under volatile market conditions. It does so by developing computational simulations of asset portfolios, which are then subjected to stressful price events. A...
Persistent link: https://www.econbiz.de/10013075302
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A Satisficing Approach to Measure Risk Preference
Ranganathan, Kavitha - 2013
We explore a satisficing approach (Simon, 1955) to measure risk preference, which suggests cognitive limitations to decision making. In an experiment, subjects invest in a portfolio that contains a risk-free bond and a risky asset which has high or low return states with equal probability. The...
Persistent link: https://www.econbiz.de/10013075886