Similar Search Results

Asset Pricing with Dynamically Inconsistent Agents

Khapko, Mariana - 2016

This paper develops a framework to study general equilibrium implications for an economy in which agents are allowed to have dynamically inconsistent time and risk preferences. This framework accommodates, but is not limited to, the following settings: (1) non-exponential discounting; (2)...

Persistent link: https://www.econbiz.de/10012980965

A New Theory of Information Acquisition and Recovery : Intrinsic Geometry Approach with Asset Pricing Applications

Leung, Raymond C. W. - 2018

We introduce a novel geometry-based method of modelling information that encompasses entropy-based approaches. A key contribution is that we explicitly construct the optimal path to acquire information. The economic driver of this geometry-based framework is knowledge state dependent marginal...

Persistent link: https://www.econbiz.de/10012916734

Models or Stars : The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment

Evans, Richard B. - 2018

-adjusted performance ranking of all US equity funds and highly correlated to CAPM alphas. After the change, the ranking was calculated …'s correlation to Fama-French (FF3) alphas. Flows strongly correlate with CAPM alphas before the change, but are strongly related to … strongly correlate with FF3 before and after the change, but are unrelated to CAPM. Over the broader time period, we find …

Persistent link: https://www.econbiz.de/10012907676

Arbitrage Pricing under Uncertainty

Rocciolo, Francesco - 2021

This paper studies the implications of arbitrage in a large asset market under conditions of (Knightian) uncertainty.First, I adapt the notion of arbitrage to a market in which the assets' returns are affected by uncertainty across probability distributions. The setting delivers the analog of...

Persistent link: https://www.econbiz.de/10013238089

Ambiguous Information, Portfolio Inertia, and Excess Volatility

Illeditsch, Philipp K. - 2011

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess...

Persistent link: https://www.econbiz.de/10013133587

An Empirical Evaluation of the Black-Litterman Approach to Portfolio Choice

Gofman, Michael - 2012

We evaluate the Black-Litterman equilibrium model approach to portfolio choice. We quantify the improvement in portfolio performance of a privately informed investor who learns from market prices over an equally informed, but dogmatic investor who only uses private information. We extend the...

Persistent link: https://www.econbiz.de/10013115124

Shadow Probability Theory for Asset Pricing under Ambiguity

Izhakian, Yehuda (Yud) - 2011

Assuming that probabilities (capacities) of events are random, this paper introduces a novel model of decision making under ambiguity, called Shadow probability theory, a generalization of the Choquet expected utility. In this model, probabilities of observable events in a subordinated...

Persistent link: https://www.econbiz.de/10013119880

Consumption-Based Asset Pricing with Herd Behavior

Curatola, Giuliano - 2012

This paper analyzes the link between herd behavior and asset prices in a multi-good pure-exchange economy where investors' preferences evolve over time in response to the consumption decisions of other investors. More precisely, the rule of updating preferences incorporates a bandwagon effect,...

Persistent link: https://www.econbiz.de/10013105266

Asset pricing under rational learning about rare disasters

Koulovatianos, Christos; Wieland, Volker - 2011 - 1st Version: May 20, 2011, This version: July 28, 2011

This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...

Persistent link: https://www.econbiz.de/10010387528

The influence of overconfidence and competition neglect on entry into competition

Schüssler, Katharina - 2018

I investigate whether two mechanisms leading to biased beliefs about success, overconfidence and competition neglect, influence decisions to enter competitive environments. I use a controlled laboratory setting that allows to elicit belief distributions related to absolute as well as relative...

Persistent link: https://www.econbiz.de/10011900069