Portfolio selection in this paper is done in an agent-based setting with individuals communicating through the social network. We explained why different individuals possess different portfolios in time and why portfolios change with the change of the environment. The developments of the games...

Empirical Studies of household portfolios have shown that young and relatively poor households hold under-diversified portfolios that are concentrated in a small number of assets, a fact often attributed to various behavioral biases. We present a model in which relatively poor investors, i.e.,...

Unknown model parameters, like expected returns, cannot be accurately estimated from short samples. Respective estimation error most likely leads to the portfolio, inconsistent with its target risk/return profile. We investigate the ways of reducing the impact of estimation error on portfolio...

This thesis investigates models of market risk assessment based on genetic algorithms, with specific reference to asset portfolio choice under volatile market conditions. It does so by developing computational simulations of asset portfolios, which are then subjected to stressful price events. A...

The paper examines the problem of portfolio selection based on the forecasts of unknown quality in a mean-variance framework. Early work by Treynor and Black (1973) established a relationship between the correlation of forecasts, the number of independent securities available and the Sharpe...

This paper studies the consumption-saving and portfolio choice problem of an ambiguity-averse investor who can not observe his income growth. I adopt a generalized recursive ambiguity model to accommodate investor’s utility function. The result shows that an ambiguity-averse agent has a lower...

Wealthier individuals have stronger incentives to seek higher returns. We investigate theoretically the effect this has on long-run wealth inequality. Incorporating capital management into a standard RamseyCass-Koopmans model generates substantial long-run inequality: the majority of the...

A regulator who designs a public stress test to avert default of a distressed bank via private investment must account for large investors' private information on the bank's state. We provide conditions for crowding-in (crowding-out) so that the regulator offers more (less) information to...

I introduce a simple model for simulating portfolio selection, based on a social network, word-of-mouth communication and unsuspicious and suspicious agents. It has been demonstrated that risk and returns are two decisive determinants in portfolio selection, with risk being highly pronounced. It...

In this paper we study the effect of institutional reform on the decision to hold risky assets at the extensive and the intensive margin. We therefore make use of the natural experiment of German Division and Reunification and, based on savings bank customer data from German savings banks, study...