Download or read book Ambiguity Aversion and Household Portfolio Choice written by and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Ambiguity Aversion and Household Portfolio Choice written by Stephen G. Dimmock and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the relation between ambiguity aversion and five household portfolio choice puzzles: non- participation, low allocations to equity, home-bias, own-company stock ownership, and portfolio under- diversification. In a representative U.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, and foreign stock ownership, but positively related to own-company stock ownership. Conditional on stock ownership, ambiguity aversion is related to portfolio under-diversification, and during the financial crisis, ambiguity-averse respondents were more likely to sell stocks.
Download or read book Ambiguity Aversion and Household Portfolio Choice Puzzles written by Stephen G. Dimmock and published by . This book was released on 2016 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the relation between ambiguity aversion and five household portfolio choice puzzles: non-participation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative U.S. household survey, we measure ambiguity preferences using custom-designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, and foreign stock ownership, but it is positively related to own-company stock ownership. Conditional on stock ownership, ambiguity aversion is related to portfolio under-diversification, and during the financial crisis, ambiguity-averse respondents were more likely to sell stocks.
Download or read book Online Appendix for Ambiguity Aversion and Household Portfolio Choice Puzzles written by Stephen G. Dimmock and published by . This book was released on 2017 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Online Appendix for “Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence”
Download or read book Ambiguity and Optimal Portfolio Choice with Value at Risk Constraint written by Bong-Gyu Jang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Integrating a Value-at-Risk constraint on a fund manager's wealth and ambiguity, we present a model of optimal portfolio choice for a fund manager who allocates her wealth between risky and riskless assets. When a fund manager controls asset composition, her reactions di er with respect to an increase in only risk aversion and only ambiguity aversion. When the sum of coe cients of risk aversion and ambiguity aversion is fixed, the effect of risk aversion on risky investment dominates the effect of ambiguity aversion in that stock holdings are dramatically smaller in the absence of ambiguity aversion than in its presence.
Download or read book Does Ambiguity Aversion Reinforce Risk Aversion written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Loss Aversion and Household Portfolio Choice written by In Do Hwang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Ambiguity Preferences and Portfolio Choices written by Milo Bianchi and published by . This book was released on 2019 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: We match administrative panel data on portfolio choices with survey data on preferences over ambiguity. We show that ambiguity averse investors bear more risk, due to a lack of diversification. In particular, they exhibit a form of home bias that leads to higher exposure to the domestic relative to the international stock market. While more sensitive to market factors, their returns are on average higher, suggesting that ambiguity averse investors need not be driven out of the market for risky assets. We also show that these investors rebalance their portfolio more actively and in a contrarian direction relative to past market trends, which allows them to keep their risk exposure relatively constant over time. We discuss these findings in relation to the theoretical literature on portfolio choice under ambiguity.
Download or read book Dynamic Portfolio Choice under Ambiguity and Regime Switching Mean Returns written by Hening Liu and published by . This book was released on 2011 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine a continuous-time intertemporal consumption and portfolio choice problem under ambiguity, where expected returns of a risky asset follow a hidden Markov chain. Investors with Chen and Epstein''s (2002) recursive multiple priors utility possess a set of priors for unobservable investment opportunities. We explicitly characterize optimal consumption and portfolio policies in terms of the Malliavin derivatives and stochastic integrals. When the model is calibrated to U.S. stock market data, I find that continuous Bayesian revisions under incomplete information generate ambiguity-driven hedging demands that mitigate intertemporal hedging demands. In addition, ambiguity aversion magnifies the importance of hedging demands in the optimal portfolio policies. Out-of-sample experiments demonstrate the economic importance of accounting for ambiguity.
Download or read book Portfolio Choice and Risk Attitudes written by Gary Charness and published by . This book was released on 2003 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the following basic intuition: when faced with a decision how to split their investment between a risky lottery and an asset with a fixed return, people increase the proportion invested in the risky option the more they like the lottery. We find counter-examples to this, and in fact we find no simple relation between preferences between lotteries and the fraction invested in them. We use three well-documented biases (ambiguity aversion, the illusion of control and myopic loss aversion) to show this. First we replicate the previous results in a laboratory experiment with financial incentives, and then test whether participants are willing to explicitly pay a small sum of money in line with the bias (pay for less ambiguity, more perceived control, or more frequent information about portfolio performance). We then study how portfolio choice depends on these biases.With the parameters chosen, the illusion of control was eliminated when participants were asked to pay to gain more control, and the bias did not affect investment behavior (i.e., participants invested in a risky option the same fraction when faced with more or less control). In the ambiguity treatment, people were willing to pay for less ambiguity, but again the level of ambiguity did not influence investment. Finally, in the myopic loss aversion treatment participants were willing to pay money to have more freedom to choose, even though (in line with the documented bias) they invested less when having more freedom to change their investment.
Download or read book Ambiguity and Asset Markets written by Larry G. Epstein and published by . This book was released on 2010 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Ellsberg paradox suggests that people behave differently in risky situations -- when they are given objective probabilities -- than in ambiguous situations when they are not told the odds (as is typical in financial markets). Such behavior is inconsistent with subjective expected utility theory (SEU), the standard model of choice under uncertainty in financial economics. This article reviews models of ambiguity aversion. It shows that such models -- in particular, the multiple-priors model of Gilboa and Schmeidler -- have implications for portfolio choice and asset pricing that are very different from those of SEU and that help to explain otherwise puzzling features of the data.
Download or read book Robust Mean Variance Portfolio Selection with State Dependent Ambiguity Aversion and Risk Aversion written by Bingyan Han and published by . This book was released on 2019 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 portfolios, we consider closed-loop equilibrium control and spike variation approaches. Moreover, we show that the closed-loop equilibrium strategy exists and is unique under some technical conditions. That partially addresses the open problem left in Björk et al. (2017, Finance Stoch.) and Pun (2018, Automatica). By using the necessary and sufficient condition for the equilibrium, we manage to derive the analytical form of the equilibrium strategy via the unique solution to a nonlinear ordinary differential equation system. To validate the proposed closed-loop framework, we show that when there is no ambiguity, our equilibrium strategy is reduced to the strategy in Björk et al. (2014, Math. Finance), which cannot be deduced under the open-loop control framework.
Download or read book Portfolio Choice Under Ambiguity written by Enrica Carbone and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
Download or read book Robustness written by Lars Peter Hansen and published by Princeton University Press. This book was released on 2016-06-28 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.
Download or read book Handbook of Behavioral Economics Foundations and Applications 1 written by and published by Elsevier. This book was released on 2018-09-27 with total page 749 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Behavioral Economics: Foundations and Applications presents the concepts and tools of behavioral economics. Its authors are all economists who share a belief that the objective of behavioral economics is to enrich, rather than to destroy or replace, standard economics. They provide authoritative perspectives on the value to economic inquiry of insights gained from psychology. Specific chapters in this first volume cover reference-dependent preferences, asset markets, household finance, corporate finance, public economics, industrial organization, and structural behavioural economics. This Handbook provides authoritative summaries by experts in respective subfields regarding where behavioral economics has been; what it has so far accomplished; and its promise for the future. This taking-stock is just what Behavioral Economics needs at this stage of its so-far successful career. Helps academic and non-academic economists understand recent, rapid changes in theoretical and empirical advances within behavioral economics Designed for economists already convinced of the benefits of behavioral economics and mainstream economists who feel threatened by new developments in behavioral economics Written for those who wish to become quickly acquainted with behavioral economics
Download or read book Household Portfolio Choice the Influence of Risk Preferences and Early Life Experiences written by Jian Li and published by . This book was released on 2014 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
