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Tactical Asset Allocation Using Investors’ Sentiment

Kim, Soo-Hyun - 2014

We extend investor sentiment literature and apply it to tactical portfolio allocation in the Korean stock market. We first construct a Korean investors' sentiment index by considering prior literature and expert opinions. Second, we investigate whether the index can predict both time series and...

Persistent link: https://www.econbiz.de/10013068784

How Should Individual Investors Diversify? An Empirical Evaluation of Alternative Asset Allocation Policies

Jacobs, Heiko - 2014

This paper evaluates numerous diversification strategies as a possible remedy against widespread costly investment mistakes of individual investors. Our results reveal that a very broad range of simple heuristic allocation schemes offers similar diversification gains, as well-established or...

Persistent link: https://www.econbiz.de/10013070781

On Pre-Commitment Aspects of a Time-Consistent Strategy for a Mean-Variance Investor

Cong, Fei - 2016

In this paper, a link between a time-consistent and a pre-commitment investment strategy is established. We define an implied investment target, which is implicitly contained in a time-consistent strategy at a given time step and wealth level. By imposing the implied investment target at the...

Persistent link: https://www.econbiz.de/10012999954

Simple and Effective Market Timing with Tactical Asset Allocation Part 2 - Choices

Glenn, Lewis A. - 2018

In Part 1 a simple market timing algorithm was described that switches from an exchange traded fund representing U. S. equities (SPY) to one holding treasury long bonds (TLT) every month on the last day, the switch being made to whichever ETF has the greatest ratio of current adjusted closing...

Persistent link: https://www.econbiz.de/10012926747

Investment Horizon and the Attractiveness of Investment Strategies : A Behavioral Approach

Dierkes, Maik - 2010

Theory cannot explain the attractiveness of empirically observed strategies, we apply a behavioral approach instead. In … particular, we assess attractiveness from the viewpoint of an investor with preferences described by Cumulative Prospect Theory … (CPT), currently the most prominent descriptive theory for decision making under uncertainty. A bootstrap technique is …

Persistent link: https://www.econbiz.de/10013150953

Nature or Nurture : What Determines Investor Behavior?

Barnea, Amir - 2010

Using data on identical and fraternal twins' complete financial portfolios, we decompose the cross-sectional variation in investor behavior. We find that a genetic factor explains about one third of the variance in stock market participation and asset allocation. Family environment has an effect...

Persistent link: https://www.econbiz.de/10013151037

Experimental Evidence on Portfolio Size and Diversification : Your Mileage May Vary ... A Lot

Chance, Don M. - 2009

This paper reports on the results of an experiment in which MBA student participants select securities at random for the purpose of reproducing the familiar exponentially declining relationship between portfolio volatility and number of securities. We find that the overall set of participants...

Persistent link: https://www.econbiz.de/10013155764

Behavior of Investors on a Multi-Asset Market

Steinbacher, Matjaz - 2009

This paper analyzes the field of investors' decision-making on a multi-asset market. It does it through a simulation games on a social network framework. It has been demonstrated that more stocks there are in the game and more changing alternatives investors have available to choose from,...

Persistent link: https://www.econbiz.de/10013158594

Should Investors Learn About the Timing of Equity Risk?

Hasler, Michael - 2020

The term structure of equity risk has been shown to be downward sloping. We capture this feature using return dynamics driven by both a transitory and a permanent component. We study the asset allocation and portfolio performance when transitory and permanent components cannot be observed and...

Persistent link: https://www.econbiz.de/10012835339

Limited Diversification, Portfolio Inertia, and Ambiguous Correlation

Jiang, Julia - 2020

We study the effects of correlation ambiguity on portfolio choice in a market with multiple risky assets. We find that the optimal portfolio contains only a fraction of risky assets under correlation ambiguity, and in particular, just one risky asset enters the optimal portfolio if the level of...

Persistent link: https://www.econbiz.de/10012835896