Using new textual analysis techniques to extract a broad set of disclosed risk factors from firms' SEC filings, I examine characteristics of the firms and industries most likely to make each type of disclosure, and investigate the relation between firms' risk disclosures and their stock return...

Epstein and Schneider (2007) develop a framework of learning under ambiguity, generalizing maxmin preferences of Gilboa and Schmeidler (1989) to intertemporal settings. The specific belief dynamics in Epstein and Schneider (2007) rely on the rejection of initial priors that have become...

This paper proposes a model of how biased individuals update beliefs in the presence of informational ambiguity. Individuals are ambiguous about the actual signal-generating process and interpret signals according to the model that can best support their biases. This paper provides a complete...

This paper addresses the question of optimal currency exposure for a risk-and-ambiguity-avers international investor. A robust mean-variance model with smooth ambiguity preferences is used to derive the optimal currency exposure. In the theoretical part, we show that the sample-efficient...

We study three fundamental components of financial agency settings: Perception and communication of investment profiles, the interaction of agents’ and clients’ preferences, and the role of (non-)monetary incentives. The perception of investment profile terminology is very heterogeneous,...

We study a robo-advising framework that allows for interactions with a client who has time-varying risk preferences that can be mismeasured. A client's willingness to interact is incorporate using a budget constraint. We find that when measurements are more volatile interacting frequently can...

Companies have overlapping exposures to many different features that might plausibly affect their returns, like whether they're involved in a crowded trade, whether they're mentioned in an M&A rumor, or whether their supplier recently missed an earnings forecast. Yet, at any point in time, only...

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...