Managing international portfolios with small capitalization stocks [PDF]
In the context of an international portfolio diversification problem, we find that small capitalization equity portfolios become riskier in bear markets, i.e. display negative co-skewness with other stock indices and high co-kurtosis.
Giovanna Nicodano, Massimo Guidolin
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Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH [PDF]
, 2005 This is a revised version of "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH", Working paper / Department of Economics, Uppsala University (Online), ISSN 1653-6975; 2005:11. (http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-79371)
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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability [PDF]
We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with ...
Amit Goyal +3 more
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Questions worth asking for futures worth making: an effectual approach. [PDF]
Small Bus Econ (Dordr), 2023 Sarasvathy S.
europepmc +1 more source
Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion [PDF]
Assuming loss aversion, stochastic investment and labour income processes, and a path-dependent target fund, we show that the optimal investment strategy for defined contribution pension plan members is a target-driven 'threshold' strategy.
Blake, David +2 more
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Unfinished business: integrating individual decision-makers' experience and incentives to organizational performance feedback theory. [PDF]
Front Psychol, 2023 Blettner D, Kotiloglu S, Lechler TG.
europepmc +1 more source
Optimal Asset Allocation in Asset Liability Management [PDF]
We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic, decision making.
Jules H. van Binsbergen +1 more
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Myopic loss aversion and the equity premium puzzle
, 2013 Two concepts from behavioural economics, loss aversion and mental accounting, have been combined to give a theoretical explanation of the equity premium puzzle. Most of the recent experimental results support the theory, as the behaviour of both students as well as professionals has been found to be consistent with myopic loss aversion (MLA).
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Artificial intelligence technology for myopia challenges: A review. [PDF]
Front Cell Dev Biol, 2023 Zhang J, Zou H.
europepmc +1 more source
Risk Taking of Executives under Different Incentive Contracts: Experimental Evidence [PDF]
Classic financial agency theory recommends compensation through stock options rather than shares to induce risk neutrality in otherwise risk averse agents. In an experiment, we find that subjects acting as executives do also take risks that are excessive
Lefebvre, Mathieu, Vieider, Ferdinand M.
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