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  1. Cognitive abilities and portfolio choice
    Autor*in: Christelis, Dimitris; Jappelli, Tullio; Padula, Mario
    Erschienen: 2008
    Verlag:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Schriftenreihe: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,35
    Schlagworte: Persönlichkeitspsychologie; Kognition; Kapitalanlage; Anlageverhalten; Kapitalertrag; Vermögen; :z Geschichte 2003-2004; SHARE, Projekt; Erwachsener, 50-60 Jahre; Älterer Mensch
    Weitere Schlagworte: (stw)2003-2004; (stw)Persönlichkeitspsychologie; (stw)Kognition; (stw)Kapitalanlage; (stw)Anlageverhalten; (stw)Kapitaleinkommen; (stw)Vermögen; (stw)Europa; cognitive abilities; stockholding; portfolio choice; Arbeitspapier; Graue Literatur; Buch; Online-Publikation; Als Aufsatz endgültig erschienen
    Umfang: Online-Ressource
  2. Capital Market Integration in Euroland - The Role of Banks
    Autor*in: Buch, Claudia M.
    Erschienen: 1999
    Verlag:  Kiel Institute for the World Economy (IfW), Kiel

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  3. Capital market integration in Euroland
    the role of banks
    Autor*in: Buch, Claudia M.
    Erschienen: 1999
    Verlag:  Inst. of World Economics, Kiel

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  4. The salience of ESG ratings for stock pricing
    evidence from (potentially) confused investors
    Autor*in: Rzeźnik, Aleksandra; Hanley, Kathleen Weiss; Pelizzon, Loriana
    Erschienen: [2021]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    We exploit a modification to Sustainalytics' environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show that the inversion of the... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We exploit a modification to Sustainalytics' environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show that the inversion of the rating scale but not new information leads some investors to make incorrect assessments about the meaning of the change in ESG ratings. They buy (sell) stocks they misconceive as ESG upgraded (downgraded) even when the opposite is true. This trading behavior exerts transitory price pressure on a↵ected stocks. Our paper highlights the importance of ESG ratings for investors and consequently for asset prices.

     
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    hdl: 10419/243279
    Schriftenreihe: SAFE working paper ; no. 310
    Schlagworte: Corporate social responsibility; ESG rating agencies; sustainable investments; socially responsible investing; ESG; portfolio choice
    Umfang: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  5. Monetary policy over the life cycle
    Autor*in: Braun, R. Anton; Ikeda, Daisuke
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of Atlanta, Atlanta, GA

    A tighter monetary policy is generally associated with higher real interest rates on deposits and loans, weaker performance of equities and real estate, and slower growth in employment and wages. How does a household's exposure to monetary policy... mehr

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    A tighter monetary policy is generally associated with higher real interest rates on deposits and loans, weaker performance of equities and real estate, and slower growth in employment and wages. How does a household's exposure to monetary policy vary with its age? The size and composition of both household income and asset portfolios exhibit large variation over the life cycle in Japanese data. We formulate an overlapping‐generations model that reproduces these observations and use it to analyze how household responses to monetary policy shocks vary over the life cycle. Both the signs and the magnitudes of the responses of a household's net worth, disposable income, and consumption depend on its age.

     
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    hdl: 10419/249856
    Auflage/Ausgabe: August 2021 (Revised September 2021)
    Schriftenreihe: Working paper series / Federal Reserve Bank of Atlanta ; 2021, 20 (August 2021)
    Schlagworte: monetary policy; life cycle; portfolio choice; nominal government debt
    Umfang: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  6. Pension funds and drivers of heterogeneous investment strategies
    Autor*in: Broeders, Dirk; Jansen, Kristy A. E.
    Erschienen: [2021]
    Verlag:  De Nederlandsche Bank NV, Amsterdam, The Netherlands

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    Schriftenreihe: Working paper / De Nederlandsche Bank NV ; no. 712 (May 2021)
    Schlagworte: factor exposures; liabilities; pension funds; portfolio choice; retirement income
    Umfang: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  7. Risk preference and entrepreneurial investment at the top of the wealth distribution
    Autor*in: Fossen, Frank M.; König, Johannes; Schröder, Carsten
    Erschienen: [2021]
    Verlag:  German Socio-Economic Panel (SOEP), DIW Berlin, Berlin, Germany

    We present first evidence how individual risk preferences shape entrepreneurial investment among the very wealthy using novel survey data from the top of the wealth distribution, which have been added to the 2019 German Socio-economic Panel Study.... mehr

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    We present first evidence how individual risk preferences shape entrepreneurial investment among the very wealthy using novel survey data from the top of the wealth distribution, which have been added to the 2019 German Socio-economic Panel Study. The data include private wealth balance sheets, in particular the value of own private business assets, and a standard measure of risk tolerance. We find that wealthy individuals are more likely to be entrepreneurs and invest a larger share of their wealth in their own businesses when they are more willing to take risks. These associations are stronger among wealthy than among less wealthy individuals. The results imply that policies affecting the riskiness of income and wealth, such as tax policy and bankruptcy law, affect risky investment decisions at the top of the wealth distribution in ways strongly determined by individual risk tolerance. Since the wealthy dominate aggregate risky investment, their risk preferences must be taken into account for theory development, empirical analysis, and policy evaluations.

     
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    hdl: 10419/231529
    Schriftenreihe: SOEPpapers on multidisciplinary panel data research ; 1117 (2021)
    Schlagworte: wealth; entrepreneurship; risk; portfolio choice
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  8. Demographic impacts on life cycle portfolios and financial market structures
    Autor*in: Liu, Weifeng; Poonpolkul, Phitawat
    Erschienen: [2020]
    Verlag:  CEPAR, ARC Centre of Excellence in Population Ageing Research, [Kensington, NSW]

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    Schriftenreihe: Working paper / CEPAR, ARC Centre of Excellence in Population Ageing Research ; 2020, 05
    Schlagworte: Demographic change; portfolio choice; financial market structure; risk premium; idiosyncratic production shock; overlapping generation model
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  9. Optimal portfolio choice with benchmark
    Autor*in: Kan, Raymond; Wang, Xiaolu
    Erschienen: [2020]
    Verlag:  [University of Toronto - Rotman School of Management], [Toronto]

    When a benchmark model is inefficient, including additional assets to the benchmark portfolios can improve its performance. In reality, however, the efficiency of a benchmark model relative to a given set of test assets is ex ante unknown, and the... mehr

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    When a benchmark model is inefficient, including additional assets to the benchmark portfolios can improve its performance. In reality, however, the efficiency of a benchmark model relative to a given set of test assets is ex ante unknown, and the optimal portfolio is constructed based on estimated parameters. Given the unknown value of including test assets and the estimation risk, whether and how to include the test assets becomes a critical question faced by investors. For such a setting, we propose a combining portfolio strategy, optimally balancing the value of including test assets and the effect of estimation errors. In particular, our proposed combining strategy addresses two layers of estimation errors: those in the estimated optimal portfolios and those in the implementable combining coefficients

     
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    Auflage/Ausgabe: This version: December 2020
    Schriftenreihe: [Rotman School of Management working paper ; no. 3760640]
    Schlagworte: portfolio choice; estimation errors; benchmark efficiency
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 57 Seiten)
  10. Present bias, asset allocation and the yield curve
    Autor*in: Goossens, Jorgo; Werker, Bas J. M.
    Erschienen: [2020]
    Verlag:  Netspar, Network for Studies on Pensions, Aging and Retirement, [Tilburg]

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    Schriftenreihe: Array ; 2020, 026 (10)
    Schlagworte: hyperbolic discounting; portfolio choice; term structure; duration present; behavioral finance
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  11. The investment side of college savings
    Autor*in: Vasilenko, Alexey
    Erschienen: [2021]
    Verlag:  [University of Toronto - Rotman School of Management], [Toronto]

    This paper empirically studies how college savings motives affect household stock market participation. More than 65% of households saving for college allocate at least a portion of their college savings to stocks, which are also the most popular... mehr

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    This paper empirically studies how college savings motives affect household stock market participation. More than 65% of households saving for college allocate at least a portion of their college savings to stocks, which are also the most popular class of risky assets for college savings investments. Employing the implementation of a financial aid program that eliminated college saving motives for some military households, I demonstrate that it reduced the probability of stock market participation outside of retirement accounts for these households by more than a quarter. I provide additional evidence that college savings motives explain a significant share of stock market participation by demonstrating that only one form of college savings, education savings accounts, accounts for 21% of stock market participation outside of retirement accounts for households with children

     
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    Schriftenreihe: [Rotman School of Management working paper ; no. 3912392]
    Schlagworte: college savings; portfolio choice; college attendance; student debt
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  12. Life-cycle risk-taking with personal disaster risk
    Autor*in: Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna
    Erschienen: [2021]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    This paper examines households' self-insurance in financial markets when a rare personal disaster, such as disability or long-term unemployment, may occur during working years. Personal disaster risk alters lifetime ex-ante investment choices, even... mehr

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    This paper examines households' self-insurance in financial markets when a rare personal disaster, such as disability or long-term unemployment, may occur during working years. Personal disaster risk alters lifetime ex-ante investment choices, even if most workers will not experience a disaster. Uncertainty about the size of human capital losses, which characterizes rare disasters, results in lower risk-taking at the beginning of working life, and is crucial in order to match the observed age profiles of US investors from 1992 to 2016.

     
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    ISBN: 9789294722393
    Weitere Identifier:
    hdl: 10419/265233
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 132 (December 2021)
    Schlagworte: disaster risk; portfolio choice; non-linear income process; unemployment risk; disability risk; beta distribution
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  13. Why aging induces deflation and secular stagnation
    Autor*in: Braun, R. Anton; Ikeda, Daisuke
    Erschienen: [2022]
    Verlag:  Federal Reserve Bank of Atlanta, Atlanta, GA

    We provide a quantitative theory of deflation and secular stagnation. In our lifecycle framework, an aging population puts persistent downward pressure on the price level, real interest rates, and output. A novel feature of our theory is that it also... mehr

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    We provide a quantitative theory of deflation and secular stagnation. In our lifecycle framework, an aging population puts persistent downward pressure on the price level, real interest rates, and output. A novel feature of our theory is that it also recognizes the reactions of government policy. The central bank responds to falling prices by reducing its policy nominal interest rate, and the fiscal authority responds by allowing the public debt–gross domestic product ratio to rise.

     
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    hdl: 10419/270455
    Schriftenreihe: Working paper series / Federal Reserve Bank of Atlanta ; 2022, 12 (September 2022)
    Schlagworte: monetary policy; lifecycle; portfolio choice; secular stagnation; nominal government debt; aging; Tobin effect; fiscal policy; deflation
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  14. Algorithm aversion as an obstacle in the establishment of robo advisors
    Autor*in: Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; Spiwoks, Markus
    Erschienen: July 2022
    Verlag:  Ostfalia Hochschule für Angewandte Wissenschaften, Fakultät Wirtschaft, Wolfsburg

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    Ostfalia Hochschule für angewandte Wissenschaften, Bibliothek
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    Schriftenreihe: Wolfsburg working papers ; no. 22, 01
    Schlagworte: Algorithm aversion; robo advisors; decisions for others; portfolio choice; diversification; behavioral finance; experiments
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  15. Insensitive investors
    Autor*in: Charles, Constantin; Frydman, Cary; Kilic, Mete
    Erschienen: November 2022
    Verlag:  CESifo, Munich, Germany

    We show theoretically that the weak transmission of beliefs to actions induces a strong bias in basic asset pricing tests. In particular, expected returns can appear to decline in risk when investors weakly transmit their payoff expectations into... mehr

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    We show theoretically that the weak transmission of beliefs to actions induces a strong bias in basic asset pricing tests. In particular, expected returns can appear to decline in risk when investors weakly transmit their payoff expectations into willingness to pay. We experimentally test this prediction and find that subjects exhibit an extremely weak transmission of beliefs to actions, which generates a negative risk-return relation. We argue that the weak transmission is due to cognitive noise and demonstrate that cognitive noise causally affects the risk-return relation. Our results highlight the importance of incorporating weak transmission into belief-based asset pricing models.

     
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    hdl: 10419/267300
    Schriftenreihe: CESifo working papers ; 10067 (2022)
    Schlagworte: investor behavior; cognitive noise; portfolio choice
    Umfang: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  16. Five facts about the money holdings of individuals and firms
    Autor*in: Betermier, Sebastien; Calvet, Laurent E.; Kvaerner, Jens Soerlie
    Erschienen: [2022]
    Verlag:  Netspar, Network for Studies on Pensions, Aging and Retirement, [Tilburg]

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    Schriftenreihe: Array ; 2022, 026 (09)
    Schlagworte: Money demand; household finance; corporate cash holdings; portfolio choice; low interest rates
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  17. India's external commercial borrowings
    determinants and optimal hedge ratio
    Autor*in: Ranjeev
    Erschienen: January 2022
    Verlag:  Reserve Bank of India, Department of Economic and Policy Research, [Mumbai]

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    Schriftenreihe: RBI working paper series ; WPS (DEPR) 2022, 3
    Schlagworte: Capital flows; portfolio choice; foreign exchange risk; ARDL
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  18. Algorithm Aversion als Hindernis bei der Etablierung von Robo Advisors
    Autor*in: Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; Spiwoks, Markus
    Erschienen: Juli 2022
    Verlag:  sofia Sonderforschungsgruppe Institutionenanalyse, Darmstadt

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    Sprache: Deutsch
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    ISBN: 9783947850006
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    Schriftenreihe: sofia-Diskussionsbeiträge ; 22, 2
    Schlagworte: Algorithm aversion; robo advisors; decisions for others; portfolio choice; diversification; behavioral finance; experiments
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  19. Options Portfolio Selection with Position Limits
    Autor*in: Guasoni, Paolo; Mayerhofer, Eberhard; Zhao, Mingchuan
    Erschienen: 2022
    Verlag:  SSRN, [S.l.]

    This paper examines the performance from 1996 to 2020 of mean-variance efficient portfolios of monthly options with all available strikes on each of the S&P 500, Nasdaq 100, and Dow Jones indexes, using a constrained optimization approach that... mehr

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    This paper examines the performance from 1996 to 2020 of mean-variance efficient portfolios of monthly options with all available strikes on each of the S&P 500, Nasdaq 100, and Dow Jones indexes, using a constrained optimization approach that incorporates position limits, transaction costs, and volatility persistence. The Sharpe ratios of index-neutral strategies is between one and two for the S&P 500 and Nasdaq 100, but less than half for the Dow Jones. Constraining portfolios to be solvent on all past index' returns reduces Sharpe ratios by a third in the S&P 500 and Nasdaq 100 and by two thirds in the Dow Jones. All strategies suffer significant losses from the coronavirus shock of 2020, underscoring their vulnerability to rare events

     
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    Schriftenreihe: Michael J. Brennan Irish Finance Working Paper Series Research Paper ; No. 22-10
    Schlagworte: options; portfolio choice; position limits; quadratic optimization
    Umfang: 1 Online-Ressource (33 p)
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    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 28, 2022 erstellt
  20. Skewness expectations and portfolio choice
    Autor*in: Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian
    Erschienen: January 2022
    Verlag:  IZA - Institute of Labor Economics, Bonn, Germany

    Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using... mehr

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    Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad index and a single stock, we show that portfolio allocations increase with the skewness of respondents' return expectations for the respective asset, controlling for other moments of a respondents' expectations and sociodemographic information. We also show that while an individuals' expectations are correlated across assets, sociodemographics only capture very little of the substantial heterogeneity in expectations.

     
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    hdl: 10419/250679
    Schriftenreihe: Discussion paper series / IZA ; no. 15018
    Schlagworte: skewness; stock market expectations; portfolio choice; behavioral finance
    Umfang: 1 Online-Ressource (circa 114 Seiten), Illustrationen
  21. Retirement eggs and retirement baskets
    Autor*in: Dobrescu, Loretti Isabella; Shanker, Akshay; Bateman, Hazel; Newell, Benjamin R.; Thorp, Susan
    Erschienen: [2022]
    Verlag:  CEPAR, ARC Centre of Excellence in Population Ageing Research, [Kensington, NSW]

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    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Schriftenreihe: Working paper / CEPAR, ARC Centre of Excellence in Population Ageing Research ; 2022, 07
    Schlagworte: lifetime savings; portfolio choice; income risk; defaults; method of moments
    Umfang: 1 Online-Ressource (circa 92 Seiten), Illustrationen
  22. Richer earnings dynamics, consumption and portfolio choice over the life cycle
    Autor*in: Gálvez, Julio; Paz Pardo, Gonzalo
    Erschienen: 2022
    Verlag:  Banco de España, Madrid

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    Schriftenreihe: Documentos de trabajo / Banco de España, Eurosistema ; no. 2241
    Schlagworte: portfolio choice; life cycle; earnings dynamics; household finances; simulated method of moments
    Umfang: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  23. Financial literacy and stock market participation
    Autor*in: Rooij, Maarten van; Lusardi, Annamaria; Alessie, Rob
    Erschienen: 2007
    Verlag:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Schriftenreihe: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,27
    Schlagworte: Haushalt; Sparen; Kapitalanlage; Wissen; Aktienmarkt; :z Geschichte 2005-2006; Aktienmarkt; Kenntnis
    Weitere Schlagworte: (stw)2005-2006; (stw)Privater Haushalt; (stw)Sparen; (stw)Kapitalanlage; (stw)Wissen; (stw)Aktienmarkt; (stw)Niederlande; portfolio choice; knowledge of economics and finance; financial sophistication; Arbeitspapier; Graue Literatur
    Umfang: Online-Ressource
  24. Optimal consumption and investment under relative performance citeria with Epstein-Zin utility
    Autor*in: Dianetti, Jodi; Riedel, Frank; Stanza, Lorenzo
    Erschienen: [February 2024]
    Verlag:  Center for Mathematical Economics (IMW), Bielefeld University, Bielefeld

    We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the mean-field... mehr

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    We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the mean-field version of the game, based on a study of geometric backward stochastic differential equations of Bernoulli type that describe the best replies of traders. Our results show that Epstein-Zin preferences can lead to substantially different equilibrium behavior

     
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    Sprache: Englisch
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    hdl: 10419/283550
    DDC Klassifikation: Wirtschaft (330); Mathematik (510)
    Schriftenreihe: Working papers / Center for Mathematical Economics ; 685
    Schlagworte: Mean field games; portfolio choice; recursive utility; stochastic differential utility; BSDEs
    Umfang: 1 Online-Ressource (27 Seiten)
  25. Balancing volatility and returns in the Czech National Bank’s foreign exchange portfolio
    Autor*in: Adam, Tomáš; Michl, Aleš; Škoda, Michal
    Erschienen: September 2023
    Verlag:  Czech National Bank, Economic Research Division, Praha

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    Schriftenreihe: Research and policy notes / Czech National Bank ; 2023,1
    Schlagworte: Central bank finances; foreign exchange reserves; foreign exchangereserve management; portfolio choice
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen