Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10014304382
We relax assumptions on individual risk preference, and set two theoretical rules for portfolio choices: either minimize or maximize risk, for any return. Risk is modeled by four alternative formulas. We empirically test these rules by observing N=690 individuals (Caucasians, bank customers and...
Persistent link: https://www.econbiz.de/10013000124
This paper offers a theoretical generalization of the mean-variance theory (MVT) by integrating the 'expected returns/risk' rule with variables that measure emotions. We validate its accuracy using a psycho-physiological experiment with a sample of 645 individuals who were asked to take...
Persistent link: https://www.econbiz.de/10013082204
The paper presents a general theoretical framework to include in the portfolio optimization model the moments of the returns distribution up to a generic order N. The proposed approach is a generalization of the standard mean-variance model. The higher order moments are introduced in the...
Persistent link: https://www.econbiz.de/10014353465
This paper analyzes the empirical risk tolerance of individuals. Rare empirical evidence shows the role of personal behavior in both propensity toward financial risk and risk aversion. By using a test which mimics the financial decision process in a laboratory setting for 445 individuals, we...
Persistent link: https://www.econbiz.de/10013110541
We focus on robust Bayesian estimation of the systematic risk of an asset in presence of outlying points. We assume that the returns follow independent normal distributions with a product partition structure on the parameters of interest. A Bayesian decision theoretical approach is used to...
Persistent link: https://www.econbiz.de/10003747751
In asset management, the portfolio leverage affects performance, and can be subject to constraints and operational limitations. Due to the possible leverage aversion of the investors, the comparison between portfolio performances can be incomplete or misleading. We propose a procedure to...
Persistent link: https://www.econbiz.de/10012795929
Persistent link: https://www.econbiz.de/10009154365
Persistent link: https://www.econbiz.de/10003675847
Building predictive models for genomic mining requires feature selection, as an essential preliminary step to reduce the large number of variable available. Feature selection is a process to select a subset of features which is the most essential for the intended tasks such as classification,...
Persistent link: https://www.econbiz.de/10003322013