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Anxiety and Pro-cyclical Risk Taking with Bayesian Agents

Eisenbach, Thomas M. - 2019

We provide a model that can explain empirically relevant variations in confidence and risk taking by combining horizon-dependent risk aversion (“anxiety”) and selective memory in a Bayesian intrapersonal game. In the time series, overconfidence is more prevalent when actual risk levels are...

Persistent link: https://www.econbiz.de/10012904438

Biased Learning under Ambiguous Information

Chen, Jaden Yang - 2021

This paper proposes a model of how biased individuals update beliefs in the presence of informational ambiguity. Individuals are ambiguous about the actual signal-generating process and interpret signals according to the model that can best support their biases. This paper provides a complete...

Persistent link: https://www.econbiz.de/10013234442

Transfers and bequests : a portfolio analysis in a nash game

Chang, Yang-ming - In: Annals of finance 3 (2007) 2, pp. 277-295

Persistent link: https://www.econbiz.de/10003425366

The Risk Premium for Minority Banks Altruistic Portfolios in Underserved Communities

Charles-Cadogan, G. - 2017

minority bank (MB) policies. Our theory apparatus synthesizes Vasicek's bond pricing model, and KMV Moody loan portfolio model … increased capital, and brokered deposits, militate against altruistic motives. This implies that for a given amount of altruism …, MBs are better served by tactical portfolio allocation in an expanded investment opportunity set. We apply the theory to …

Persistent link: https://www.econbiz.de/10012974983

Bubbles and Crashes with Partially Sophisticated Investors

Bianchi, Milo; Jehiel, Philippe - 2011

We analyze bubbles and crashes in a model in which some investors are partially sophisticated. While the expectations of such investors are endogenously determined in equilibrium, these are based on a coarse understanding of the market dynamics. We highlight how such investors may endogenously...

Persistent link: https://www.econbiz.de/10014184822

Information Asymmetry and Incentives for Active Management

Kim, Min S. - 2010

This paper presents a model in which fund managers choose between active management and passive management when investors cannot directly observe managers' efforts and skills. In an equilibrium skilled managers actively manage their funds only when skills can add a large value in active...

Persistent link: https://www.econbiz.de/10013135435

The Optimal Climate Policy Portfolio When Knowledge Spills Across Sectors

Massetti, Emanuele - 2010

This paper studies the implications for climate policy of the interactions between environmental and knowledge externalities. Using a numerical analysis performed with the hybrid integrated assessment model WITCH, extended to include mutual spillovers between the energy and the non-energy...

Persistent link: https://www.econbiz.de/10013138660

Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity Aversion and Risk Aversion : A Closed-loop Approach

Han, Bingyan - 2019

This paper studies a class of robust mean-variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense of considering alternative dominated models, is introduced to the problem to reflect the investor's ambiguity aversion. To characterize the robust...

Persistent link: https://www.econbiz.de/10012896233

Delegated Portfolio Management with Career Concerns

Scotti, Massimo - 2011

The paper proposes a model of delegated portfolio management in which career concerns lead to unprofitable trade by uninformed managers (i.e. churning). We find that churning does not necessarily reduce the return that a representative investor expects ex-ante from delegating trade to a manager....

Persistent link: https://www.econbiz.de/10013127339

The optimal climate policy portfolio when knowledge spills across sectors

Massetti, Emanuele; Nicita, Lea - 2010

Persistent link: https://www.econbiz.de/10008735744