Showing 1 - 10 of 259
We examine the risky choices of contestants in the popular TV game show quot;Deal or No Dealquot; and related classroom experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous outcomes experienced during the game. Risk...
Persistent link: https://www.econbiz.de/10012755728
We examine the risky choices of contestants in the popular TV game show "Deal or No Deal" and related classroom experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous outcomes experienced during the game. Risk aversion...
Persistent link: https://www.econbiz.de/10005761458
We study individual portfolio choice in a laboratory experiment and find strong evidence for heuristic behavior. The subjects tend to focus on the marginal distribution of an asset, while largely ignoring its diversification benefits. They follow a conditional 1/n diversification heuristic as...
Persistent link: https://www.econbiz.de/10012714795
The value premium substantially reduces for downside risk averse investors with a substantial fixed income exposure, such as insurance companies and pension funds. Growth stocks are attractive to these investors because they offer a good hedge against a bad bond performance. This result holds...
Persistent link: https://www.econbiz.de/10012710794
We examine the risky choices of contestants in the popular TV game show “Deal or No Deal” and related classroom experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous outcomes experienced during the game. Risk aversion...
Persistent link: https://www.econbiz.de/10011257215
We examine the risky choices of contestants in the popular TV game show “Deal or No Deal” and related classroom experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous outcomes experienced during the game. Risk aversion...
Persistent link: https://www.econbiz.de/10005144515
Starting from the reward-risk model for portfolio selection introduced in DeGiorgi (2005), we derive the reward-risk Capital Asset Pricing Model (CAPM) analogously to the classical mean-variance CAPM. In contrast to the mean-variance model, reward-risk portfolio selection arises from an...
Persistent link: https://www.econbiz.de/10012737065
Using canonical data for the US stock and bond markets, we show that the kinked piecewise exponential value function can rationalize the cross-section of stock returns in addition to the level of the equity premium, while the kinked piecewise-power value function of Tversky and Kahneman can...
Persistent link: https://www.econbiz.de/10012711488
We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio relative to benchmark portfolios based on...
Persistent link: https://www.econbiz.de/10012713593
This study proposes a test for mean-variance efficiency of a given portfolio under general linear investment restrictions. We introduce a new definition of pricing error or ldquo;alphardquo; and as an efficiency measure we propose to use the largest positive alpha for any vertex of the portfolio...
Persistent link: https://www.econbiz.de/10012766587