Results 91 to 100 of about 30,898 (244)

Driven by risk: Understanding reference‐dependent preferences using simulated auto racing

Journal of Risk and Insurance, EarlyView.
Abstract Using data from over 56,000 simulated auto races worldwide, we analyze risk‐taking at the margins, consistent with reference‐dependent preferences. We show that participants' risk‐taking changes when a desired intermittent outcome is presented, sometimes at the expense of a more favorable expected end state.
James Hilliard, Annette Hofmann, David Weber   +2 more
wiley   +1 more source

DETERMINANTS OF STOCKS FOR OPTIMAL PORTFOLIO

Pakistan Journal of Applied Economics, 2017
Basically this is an empirical study which aims to test the Markowitz Modern portfolio theory (MPT) or the mean-variance analysis. Fund managers and general investors seek a portfolio that yields maximum return with minimum risk. The problem of investors
Syed Zakir Abbas ZAIDI
doaj  

Deception behind bars: A mixed‐methods investigation of inmates' beliefs about lie detection

Legal and Criminological Psychology, EarlyView.
Abstract Purpose This study examines incarcerated individuals' beliefs about deception detection, focusing on perceptions of successful liars, cues used to identify deception and endorsement of stereotypical beliefs. Methods A mixed‐methods design combining qualitative and quantitative methods was used.
Andreea Turi, Laura Visu‐Petra
wiley   +1 more source

Tackling nonlinear price impact with linear strategies

Mathematical Finance, Volume 35, Issue 2, Page 422-440, April 2025.
Abstract Empirical studies in various contexts find that the price impact of large trades approximately follows a power law with exponent between 0.4 and 0.7. Yet, tractable formulas for the portfolios that trade off predictive trading signals, risk, and trading costs in an optimal manner are only available for quadratic costs corresponding to linear ...
Xavier Brokmann, David Itkin, Johannes Muhle‐Karbe, Peter Schmidt   +3 more
wiley   +1 more source

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008 El teorema de la separación de Tobin: información del primer semestre de 2008 del mercado accionario colombiano

AD-minister, 2012
This paper shows a special situation where a portfolio created based on Tobin’s separation theorem does not match the Markowitz efficient set. Next a review of Markowitz´s portfolio selection theory is offered, followed by a review of Tobin’s separation ...
José Gabriel Astaiza Gómez
doaj  

Never, Ever Getting Started: On Prospect Theory Without Commitment

Mathematical Finance, EarlyView.
ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley   +1 more source

How to Peer Review a Hypothesis - Without Killing It

Dental Hypotheses, 2010
Dental hypothesis exists to provide the dental community with a forum for free thought and the expression of non-mainstream ideas. It is hoped that the thought provoking ideas expressed in this open access journal will lead to progress in both the ...
Kenneth Markowitz, Kenneth Markowitz
doaj  

The Optimal Mean–Variance Selling Problem With Finite Horizon

Mathematical Finance, EarlyView.
ABSTRACT The optimal mean–variance selling problem seeks to determine a dynamically optimal stopping time in the nonlinear problem sup0≤τ≤TE(Xτ)−cVar(Xτ)$\sup _{0 \le \tau \le T} \left[ \mathsf {E}\,\!(X_\tau) - c\, \mathsf {V}ar\,\!(X_\tau) \right]$, where X$X$ is a geometric Brownian motion with strictly positive drift, the supremum is taken over ...
Peter Johnson, Jesper Lund Pedersen, Goran Peskir   +2 more
wiley   +1 more source

The Watching Eyes Effect Predicts In-Game Penalties for Professional Sports

These data and code are associated with the paper titled: "The Watching Eyes Effect Predicts In-Game Penalties for Professional ...
Markowitz, David
core   +1 more source