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Toward the Integration of Personality Theory and Decision Theory in the Explanation of Economic and Health Behavior
Rustichini, Aldo; DeYoung, Colin G.; Anderson, Jon E.; … - Institute for the Study of Labor (IZA) - 2012
Trait-based personality psychology and economics have taken different approaches to understanding individual differences, with the former emphasizing variables derived from the factor analysis of trait assessments, and the latter emphasizing variables derived from formal decision theory. In a...
Persistent link: https://www.econbiz.de/10010742085
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Toward the integration of personality theory and decision theory in the explanation of economic and health behavior
Rustichini, Aldo; DeYoung, Colin G.; Anderson, Jon; … - 2012
Trait-based personality psychology and economics have taken different approaches to understanding individual differences, with the former emphasizing variables derived from the factor analysis of trait assessments, and the latter emphasizing variables derived from formal decision theory. In a...
Persistent link: https://www.econbiz.de/10010287694
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Asset Pricing with Dynamically Inconsistent Agents
Khapko, Mariana - 2016
This paper develops a framework to study general equilibrium implications for an economy in which agents are allowed to have dynamically inconsistent time and risk preferences. This framework accommodates, but is not limited to, the following settings: (1) non-exponential discounting; (2)...
Persistent link: https://www.econbiz.de/10012980965
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Market Selection and Survival of Investment Strategies
Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - Institut für Volkswirtschaftslehre, …
the assumption that the trader's strategy is asymptotically distinct from the CAPM strategy (prescribing in-vestment in …
Persistent link: https://www.econbiz.de/10005585627
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Market selection and survival of investment strategies
AMIR, Rabah; EVSTIGNEEV, Igor; HENS, Thorsten; … - Center for Operations Research and Econometrics (CORE), … - 2003
The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model under study, asset payoffs depend on exogenous random factors. Market participants use dynamic investment strategies taking account of the available information...
Persistent link: https://www.econbiz.de/10005043690
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Market Selection and Survival of Investment Strategies.
Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - Økonomisk Institut, Københavns Universitet - 2002
The paper analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets. In the model understudy, asset payoffs depend on exogenous random factors. Market participants use dynamic investment strategies taking account of available information...
Persistent link: https://www.econbiz.de/10005749518
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An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Martin - Institut für Volkswirtschaftslehre, …
This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI). We study numerically the long-run outcome of the competition of rebalancing rules for market shares in a stock market with actual dividends taken from firms listed in the SMI....
Persistent link: https://www.econbiz.de/10005627836
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Survival of the Fittest on Wall Street
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - Økonomisk Institut, Københavns Universitet - 2004
This paper studies an application of a Darwinian theory of portfolio selection to stocks listed in the Dow Jones Industrial Average (DJIA). We analyze numerically the long-run outcome of the competition of fix-mix portfolio rules in a stock market with actual DJIA dividends. In the model...
Persistent link: https://www.econbiz.de/10005749703
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A New Theory of Information Acquisition and Recovery : Intrinsic Geometry Approach with Asset Pricing Applications
Leung, Raymond C. W. - 2018
We introduce a novel geometry-based method of modelling information that encompasses entropy-based approaches. A key contribution is that we explicitly construct the optimal path to acquire information. The economic driver of this geometry-based framework is knowledge state dependent marginal...
Persistent link: https://www.econbiz.de/10012916734
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Models or Stars : The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment
Evans, Richard B. - 2018
-adjusted performance ranking of all US equity funds and highly correlated to CAPM alphas. After the change, the ranking was calculated …'s correlation to Fama-French (FF3) alphas. Flows strongly correlate with CAPM alphas before the change, but are strongly related to … strongly correlate with FF3 before and after the change, but are unrelated to CAPM. Over the broader time period, we find …
Persistent link: https://www.econbiz.de/10012907676