We directly optimize portfolio weights as a function of firm characteristics via deep neural networks by generalizing the parametric portfolio policy framework. Our results show that network-based portfolio policies result in an increase of investor utility of between 30 and 100 percent over a...

We report a portfolio-choice experiment that enables us to estimate parametric models of ambiguity aversion at the level of the individual subject. The assets are Arrow securities that correspond to three states of nature, where one state is risky with known probability and two states are...

The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multidimensional. A weak concept, commodity specific greater risk aversion , is based on the comparison of risk premia paid in a specified commodity. A stronger concept, uniformly greater risk aversion...