This paper provides an alternative behavioral foundation for an investor's use of power utility in the objective function and its particular risk aversion parameter. The foundation is grounded in an investor's desire to minimize the objective probability that the growth rate of invested wealth...

The paper investigates a problem of bounded risk portfolio selection for a multi-period market in the case when only historical prices are available, and all market parameters are not observable. We present a strategy which bounds risk closely to a risk-free investment and guarantees at the same...

The paper studies multi-period discrete time market models with serial correlations. We found the optimal strategy in mean-variance and goal achieving setting for the case when there are serial correlations and when the parameter process that causes correlations is currently observable

Following the Winner's Curse and the Optimizer's Curse, this paper introduces the Satisficer's Curse. The Winner's Curse requires competition between agents in an auction for, usually, a common-value item; the recently named Optimizer's Curse is a systematic overvaluation when the decision maker...

The paper studies multi-stock discrete time market models with serial correlations and with some management costs. We found a market structure that ensures that the optimal strategy is myopic for the case of either power or log utility function

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

An existence theorem for a bias of the mean in the presence of data dispersion is proved. The aims are to use this theorem in experiments interpretation, probability theory, statistics, economics and management. The ultimate aims are to explain the well-known problems of utility and decision...

This paper applies specific quantitative methods to demonstrate a general theoretical model for measuring strategic performance. The theoretical concepts are universal and measurable for all types of strategic activity by applying the methodology through alternative quantitative analytical...