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Capital income taxation and risk taking under prospect theory
Hlouskova, Jaroslava; Tsigaris, Panagiotis Demetrios - 2012
This research examines capital income taxation for a loss averse investor under some acceptable in the literature … the attractive full loss offset provisions. However, risk taking can be stimulated if the investor interprets part of the … tax as a loss instead as a reduced gain. Then investor becomes risk seeking and moves away from the discomfort zone of …
Persistent link: https://www.econbiz.de/10009684798
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Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10014236684
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Can time-varying currency risk hedging explain exchange rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10013440410
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Ambiguity and the home currency bias
Ulrych, Urban; Vasiljević, Nikola - 2020 - This Version: August 2020
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...
Persistent link: https://www.econbiz.de/10012271218
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Time Varying Risk Aversion, Familiarity Bias, and Portfolio Concentration During Market Uncertainty
Skiba, Hilla - 2013
It is well established that international portfolios are far substantially under-diversified, contrary to predictions of traditional finance theory. Even after controlling for market segmentation and “investability” of foreign markets, portfolio under-diversification remains a puzzle. I...
Persistent link: https://www.econbiz.de/10013083023
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Capital income taxation and risk taking under prospect theory
Hlouskova, Jaroslava; Tsigaris, Panagiotis Demetrios - 2012
Persistent link: https://www.econbiz.de/10009567510
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Minimax : Portfolio Choice Based on Pessimistic Decision Making
Schaarschmidt, Steffen - 2012
We propose a fund allocation strategy for a highly risk-averse investor based on pessimistic decision making to construct portfolios of four major asset classes. Using US data (indexes of stocks, bonds, real estate, and commodities) from January 1990 to December 2010, we find that the proposed...
Persistent link: https://www.econbiz.de/10013105593
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Riding the Bubble with Convex Incentives
Sotes-Paladino, Juan M. - 2018
We show that benchmark-linked convex incentives can lead risk-averse money managers aware of mispricing to over-invest in overpriced securities. In the model, the managers' risk-seeking behavior varies in response to the interaction of mispricing with convexity and benchmarking concerns....
Persistent link: https://www.econbiz.de/10012937873
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Loss aversion and wealth allocation between risky and risk-free assets
Rengifo, Erick W. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003485124
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Investors facing risk
Rengifo, Erick W. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003487479