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Chain reaction of behavioral bias and risky investment decision in Indonesian nascent investors
Parmitasari, Rika Dwi Ayu; Syariati, Alim; Sumarlin, … - In: Risks : open access journal 10 (2022) 8, pp. 1-15
Early investors possess unique sets of decision-making characteristics. They are more open to experience and eager to … face risks. However, to the best of the authors’ knowledge, the discussions of nascent investors upon making the investment … decision and its eroding biases were still elusive. The vital role of emotion as a bias in decision making was also …
Persistent link: https://www.econbiz.de/10013368488
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Participating life insurance products with alternative guarantees : reconciling policyholders' and insurers' interests
Reuß, Andreas; Ruß, Jochen; Wieland, Jochen - In: Risks : open access journal 4 (2016) 2, pp. 1-18
Traditional participating life insurance contracts with year-to-year (cliquet-style) guarantees have come under pressure in the current situation of low interest rates and volatile capital markets, in particular when priced in a market-consistent valuation framework. In addition, such guarantees...
Persistent link: https://www.econbiz.de/10011507240
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Risk minimization for insurance products via F-doubly stochastic Markov chains
Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26
We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...
Persistent link: https://www.econbiz.de/10011507634
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Optimal portfolio selection in an Itô-Markov additive market
Palmowski, Zbigniew; Stettner, Łukasz; Sulima, Anna - In: Risks : open access journal 7 (2019) 1/34, pp. 1-13
We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into account two sources of risk: the jump diffusion...
Persistent link: https://www.econbiz.de/10012015778
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A genetic algorithm for investment–consumption optimization with value-at-risk constraint and information-processing cost
Jin, Zhuo; Yang, Zhixin; Yuan, Quan - In: Risks : open access journal 7 (2019) 1/32, pp. 1-15
decision maker can dynamically monitor the exposed risk and quantify the maximum expected loss over a finite horizon period at … a given confidence level. In addition, the decision maker has to filter the key economic factors to make decisions …. Considering the cost of filtering the factors, the decision maker aims to maximize the utility of consumption in a finite horizon …
Persistent link: https://www.econbiz.de/10012015814
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Efficient retirement portfolios : using life insurance to meet income and bequest goals in retirement
Dong, Fangyuan; Halen, Nick; Moore, Kristen; Zeng, Qinglai - In: Risks : open access journal 7 (2019) 1/9, pp. 1-11
Life Insurance Retirement Plans (LIRPs) offer tax-deferred cash value accumulation, tax-free withdrawals (if properly structured), and a tax-free death benefit to beneficiaries. Thus, LIRPs share many of the tax advantages of other retirement savings vehicles but with less restrictive...
Persistent link: https://www.econbiz.de/10012018693
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Dealing with drift uncertainty : a Bayesian learning approach
De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: Risks : open access journal 7 (2019) 1/5, pp. 1-18
One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled using two parameters: the drift vector and the covariance matrix, which are both uncertain. Since the variance/covariance parameter is assumed to be estimated with a certain...
Persistent link: https://www.econbiz.de/10012018698
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A general framework for portfolio theory, part III, multi-period markets and modular approach
Maier-Paape, Stanislaus; Platen, Andreas; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 2/60, pp. 1-31
This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a … general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks … approach, the “modular portfolio theory”, which is built from the interaction among four related modules: (a) multi period …
Persistent link: https://www.econbiz.de/10012018996
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The optimum leverage level of the banking sector
Dewasurendra, Sagara; Judice, Pedro; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 2/51, pp. 1-30
Banks make profits from the difference between short-term and long-term loan interest rates. To issue loans, banks raise funds from capital markets. Since the long-term loan rate is relatively stable, but short-term interest is usually variable, there is an interest rate risk. Therefore, banks...
Persistent link: https://www.econbiz.de/10012019127
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Optimal risk budgeting under a finite investment horizon
López de Prado, Marcos M.; Vince, Ralph; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 3/86, pp. 1-15
The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi …
Persistent link: https://www.econbiz.de/10012126488