We combine new developments in decision theory with a standard consumption-based asset-pricing framework. In our model the efficient market hypothesis is violated if and only if agentsÂ’ beliefs' express ambiguity about the stochastic process driving economic fundamentals. Asset price...

Absent much theory, empirical works often rely on the following informal reasoning when looking for evidence of a mutual fund tournament: If there is a tournament, interim winners have incentives to decrease their portfolio volatility as they attempt to protect their lead, while interim losers...

We study the relation between gender and stock holdings in Finland, a particularly gender equal country. We show that it is crucial to control for risk aversion using a measure of subjective risk-taking, rather than measures derived from abstract gambles. Controls related to financial knowledge...

This paper studies a Lucas (1978) fruit-tree economy under the assumption that the agents are Choquet expected utility (CEU) rather than standard expected utility decision makers. More specifically, the agents' non-additive beliefs about the economy's dividend payment process are modeled as...

Several investment decisions deal with non-marketable assets. Non-marketable assets are available only to one investor and are often indivisible. This has relevant consequences on investor investment opportunities. Adhering to a mean–variance representation of the investment space and...

Many economic applications have found quantile models useful when the explanatory variables may have varying impacts throughout the distribution of the outcome variable. Traditional quantile estimators provide conditional quantile treatment effects. Typically, we are interested in unconditional...

Absent much theory, empirical works often rely on the following informal reasoning when looking for evidence of a mutual fund tournament: If there is a tournament, interim winners have incentives to decrease their portfolio volatility as they attempt to protect their lead, while interim losers...

This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction emerges as the managers compete for money flows displaying empirically documented convexities. A manager gets money flows increasing with performance, and...

We study the optimal portfolio selected by an investor who conforms to Siniscalchi (2009)’s Vector Expected Utility’s (VEU) axioms and who is ambiguity averse. To this end, we derive a mean-variance preference generalised to ambiguity from the second-order Taylor-Young expansion of the VEU...

We investigate the empirical relation between ambiguity aversion, risk aversion and portfolio choices. We match administrative panel data on portfolio choices with survey data on preferences over ambiguity and risk. We report three main findings. First, conditional on participation, ambiguity...