Comparing to developed countries, the investors participation in the stock market is very much low in India. There is need for rightful approach to attract the retail investors towards the stock market. If more retail investors are get started to participate in the stock market, country will...

The benefits of international diversification have been recognized for decades. In spite of this, most investors hold nearly all of their wealth in domestic assets. In this paper, we construct new estimates of the international equity portfolio holdings of investors in the U.S., Japan, and...

Background and target:The optimization of single assets or a portfolio of assets is a ubiquitous task in energy and commodity trading. Assets may be of various types, such as storage facilities (e.g. batteries or water reservoirs for power, heat or gas storage), decentralized or large power...

This paper conducts a laboratory experiment to assess the optimal portfolio allocation under quantile preferences (QP) and compare the model's predictions with those of the expected utility theory using a mean-variance (MV) utility function. We estimate the risk aversion coefficients associated...

Over the past few days, alarm bells have been ringing for the risk of recession in the world’s leading economies (Germany, United Kingdom, Italy, Brazil and Mexico). Deceleration is affecting several regions in the world and might even become more widespread, exacerbating investor mistrust and...

Since the 2008-2009 global financial crisis, VaR (Value-at-Risk) techniques have become critical tools for monitoring and predicting the market risk and liquidity of financial assets. These financial risk modeling techniques, which have been recognized by the Bank for International Settlements...

We provide robust empirical evidence that uncovers the reason for the observed closer relationship between the bond market versus the equity market and the macroeconomy. Our results indicate that the tight bond market-macroeconomy link is not due to differences in the investor base, but instead...

I analyze time series momentum along the Treasury yield curve. Past bond returns predict future returns both due to autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily due to autocorrelation in yield changes rather...

This paper presents evidence on the characteristic speculative dynamics of a wide range of asset returns. It highlights three stylized facts. First, returns tend to be positively serially correlated at high frequency. Second, returns tend to be negatively serially correlated over long horizons....

Investor sophistication has lagged behind the growing complexity of retail financial markets. To explore this, we develop a dynamic model to study the interaction between obfuscation and investor sophistication. Taking into account different learning mechanisms within the investor population, we...