In this paper, we propose a measure of individual investor sentiment that is derived from the market for bank-issued warrants. Due to a unique warrant transaction data set from a large discount broker we are able to calculate a daily sentiment measure and test whether individual investor...

There is no commonly, by investment advisors as well as theorists accepted answer to the question, whether the risky fraction of an investor's portfolio should depend on his time horizon. For this reason we try to define the decision problem in its most general way and gradually reduce it by...