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Ambiguity Aversion And Household Portfolio Choice
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Book Synopsis Handbook of the Economics of Finance by : G. Constantinides
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.
Book Synopsis Handbook of Behavioral Economics - Foundations and Applications 1 by :
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 Rational Decisions written by Ken Binmore and published by Princeton University Press. This book was released on 2008-12-29 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely held that Bayesian decision theory is the final word on how a rational person should make decisions. However, Leonard Savage--the inventor of Bayesian decision theory--argued that it would be ridiculous to use his theory outside the kind of small world in which it is always possible to "look before you leap." If taken seriously, this view makes Bayesian decision theory inappropriate for the large worlds of scientific discovery and macroeconomic enterprise. When is it correct to use Bayesian decision theory--and when does it need to be modified? Using a minimum of mathematics, Rational Decisions clearly explains the foundations of Bayesian decision theory and shows why Savage restricted the theory's application to small worlds. The book is a wide-ranging exploration of standard theories of choice and belief under risk and uncertainty. Ken Binmore discusses the various philosophical attitudes related to the nature of probability and offers resolutions to paradoxes believed to hinder further progress. In arguing that the Bayesian approach to knowledge is inadequate in a large world, Binmore proposes an extension to Bayesian decision theory--allowing the idea of a mixed strategy in game theory to be expanded to a larger set of what Binmore refers to as "muddled" strategies. Written by one of the world's leading game theorists, Rational Decisions is the touchstone for anyone needing a concise, accessible, and expert view on Bayesian decision making.
Book Synopsis Cultural Finance: A World Map Of Risk, Time And Money by : Thorsten Hens
Download or read book Cultural Finance: A World Map Of Risk, Time And Money written by Thorsten Hens and published by World Scientific. This book was released on 2020-10-29 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive overview of the emerging field of cultural finance. It summarizes research results of cultural differences in financial decision making and financial markets. Many of the results have been published in leading academic journals over the last ten years but some are presented here for the first time. The book is based on an international survey on risk and time preferences — the INTRA study, conducted in 53 countries worldwide. Applications to financial markets include the equity premium puzzle, the value premium, dividend payout policies and asset allocations.
Book Synopsis The Foundations of Behavioral Economic Analysis by : Sanjit Dhami
Download or read book The Foundations of Behavioral Economic Analysis written by Sanjit Dhami and published by Oxford University Press. This book was released on 2019-02-14 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume of The Foundations of Behavioral Economic Analysis covers the opening topic found in this definitive introduction to the subject: the behavioral economics of risk, uncertainty, and ambiguity. It is an essential guide for advanced undergraduate and postgraduate students seeking a concise and focused text on this important subject, and examines how the decision maker chooses his optimal action in the presence of risk, uncertainty, and ambiguity. This updated extract from Dhami's leading textbook allows the reader to pursue subsections of this vast and rapidly growing field and to tailor their reading to their specific interests in behavioural economics.
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis Handbook of the Economics of Risk and Uncertainty by : Mark Machina
Download or read book Handbook of the Economics of Risk and Uncertainty written by Mark Machina and published by Newnes. This book was released on 2013-11-14 with total page 897 pages. Available in PDF, EPUB and Kindle. Book excerpt: The need to understand the theories and applications of economic and finance risk has been clear to everyone since the financial crisis, and this collection of original essays proffers broad, high-level explanations of risk and uncertainty. The economics of risk and uncertainty is unlike most branches of economics in spanning from the individual decision-maker to the market (and indeed, social decisions), and ranging from purely theoretical analysis through individual experimentation, empirical analysis, and applied and policy decisions. It also has close and sometimes conflicting relationships with theoretical and applied statistics, and psychology. The aim of this volume is to provide an overview of diverse aspects of this field, ranging from classical and foundational work through current developments. - Presents coherent summaries of risk and uncertainty that inform major areas in economics and finance - Divides coverage between theoretical, empirical, and experimental findings - Makes the economics of risk and uncertainty accessible to scholars in fields outside economics
Book Synopsis Household Financial Management by : Sumit Agarwal
Download or read book Household Financial Management written by Sumit Agarwal and published by World Scientific. This book was released on 2023-10-18 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is dedicated to showcasing the importance of household financial management through the lens of academic research, with the goal of enhancing the financial well-being of individuals.Through an exploration of households' financial choices over their lifecycle, the book aims to provide a comprehensive understanding of households' financial decision-making processes, grounded in economic models, policies, and data.This holistic perspective encompasses an awareness of the functioning of different market types and an appreciation of various cognitive and behavioral biases. As a result, readers would be better positioned to make informed financial choices.By further integrating theories and empirical evidence from economics and finance, the book provides readers with insights into actions they can take to circumvent common financial pitfalls and offers solutions for effectively addressing them.Supplementary Material Resources:Resources are available to students who adopt this textbook for their courses. These include: (1) PowerPoint deck. Please contact [email protected].
Book Synopsis Household Finance by : Richard Deaves
Download or read book Household Finance written by Richard Deaves and published by Oxford University Press. This book was released on 2024 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Household Finance: An Introduction to Individual Financial Behavior is about how individuals make financial decisions, and how these financial decisions contribute to and detract from their well-being. What sort of decisions am I talking about? We all must manage our money, shifting our resources across time. Sometimes we need to consume more than is currently available to us. For example, people commonly borrow to purchase residential real estate, paying down their mortgage loans over time. At other times, we have excess funds that we can save and invest. The main reason to accumulate wealth is to amass a fund that we can draw down when older and less able and willing to earn labor income. It is crucial, then, that our savings be sufficient to ensure a comfortable retirement. It is not enough to save; our savings must be invested appropriately so as to properly counterbalance risk and return. One way is to buy low-cost mutual funds or exchange-traded funds where the job of diversification is done for us. Some of us, however, purchase not only investment funds but also individual securities that we ourselves select. If so, it is vital that we avoid preventable errors. And, along the way, since the world is unpredictable, it is appropriate to protect ourselves by insuring against the sort of catastrophic loss that can derail our best-laid financial plans"--
Book Synopsis Portfolio Selection and Asset Pricing by : Shouyang Wang
Download or read book Portfolio Selection and Asset Pricing written by Shouyang Wang and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.
Book Synopsis Risk Profiling and Tolerance: Insights for the Private Wealth Manager by : Joachim Klement
Download or read book Risk Profiling and Tolerance: Insights for the Private Wealth Manager written by Joachim Klement and published by CFA Institute Research Foundation. This book was released on 2018-05-01 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: If risk aversion and willingness to take on risk are driven by emotions and we as humans are bad at correctly identifying them, the finance profession has a serious challenge at hand—how to reliably identify the individual risk profile of a retail investor or high-net-worth individual. In this series of CFA Institute Research Foundation briefs, we have asked academics and practitioners to summarize the current state of knowledge about risk profiling in different key areas.
Book Synopsis Generalized Expected Utility Theory by : John Quiggin
Download or read book Generalized Expected Utility Theory written by John Quiggin and published by Springer Science & Business Media. This book was released on 1993 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic analysis of choice under uncertainty has been dominated by the expected utility (EU) model, yet the EU model has never been without critics. Psychologists accumulated evidence that individual choices under uncertainty were inconsistent with the predictions of the EU model. Applied work in areas such as finance was dominated by the simpler mean-variance analysis. In the 1980s this skepticism was dispelled as a number of generalizations of EU were proposed, most of which were capable of explaining evidence inconsistent with EU, while preserving transitivity and dominance. Generalized expected utility is now a flourishing subfield of economics, with dozens of competing models and considerable literature exploring their theoretical properties and comparing their empirical performance. But the EU model remains the principal tool for the analysis of choice under uncertainty. There is a view that generalized models are too difficult to handle or incapable of generating sharp results. This creates a need to show that the new models can be used in the kinds of economic analysis for which EU has been used, and that they can yield new and interesting results. This book meets this need by describing one of the most popular generalized models -- the rank-dependent expected utility model (RDEU), also known as anticipated utility, EU with rank-dependent preferences, the dual theory of choice under uncertainty, and simply as rank-dependent utility. As the many names indicate, the model has been approached in many ways by many scientists and for this reason, consideration of a single model sheds light on many of the concerns that have motivated the development of generalized utility models. The popularity of the RDEU model rests on its simplicity and tractability. The standard tools of analysis developed for EU theory may be applied to the RDEU model, but since RDEU admits behavior inconsistent with EU, the field of potential applications is widened. As such, the RDEU model is not as much a competitor to EU as an extension based on less restrictive assumptions.
Book Synopsis Portfolio Management under Stress by : Riccardo Rebonato
Download or read book Portfolio Management under Stress written by Riccardo Rebonato and published by Cambridge University Press. This book was released on 2013 with total page 519 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous presentation of a novel methodology for asset allocation in financial portfolios under conditions of market distress.
Book Synopsis Prospect Theory by : Peter P. Wakker
Download or read book Prospect Theory written by Peter P. Wakker and published by Cambridge University Press. This book was released on 2010-07-22 with total page 519 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prospect Theory: For Risk and Ambiguity, provides a comprehensive and accessible textbook treatment of the way decisions are made both when we have the statistical probabilities associated with uncertain future events (risk) and when we lack them (ambiguity). The book presents models, primarily prospect theory, that are both tractable and psychologically realistic. A method of presentation is chosen that makes the empirical meaning of each theoretical model completely transparent. Prospect theory has many applications in a wide variety of disciplines. The material in the book has been carefully organized to allow readers to select pathways through the book relevant to their own interests. With numerous exercises and worked examples, the book is ideally suited to the needs of students taking courses in decision theory in economics, mathematics, finance, psychology, management science, health, computer science, Bayesian statistics, and engineering.
Book Synopsis Handbook of Experimental Finance by : Füllbrunn, Sascha
Download or read book Handbook of Experimental Finance written by Füllbrunn, Sascha and published by Edward Elgar Publishing. This book was released on 2022-10-13 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: With an in-depth overview of the past, present and future of the field, The Handbook of Experimental Finance provides a comprehensive analysis of the current topics, methodologies, findings, and breakthroughs in research conducted with the help of experimental finance methodology. Leading experts suggest innovative ways of designing, implementing, analyzing, and interpreting finance experiments.
Book Synopsis A Research Agenda for Consumer Financial Behavior by : Jing J. Xiao
Download or read book A Research Agenda for Consumer Financial Behavior written by Jing J. Xiao and published by Edward Elgar Publishing. This book was released on 2023-06-01 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: With contributions from an international range of active researchers, this Research Agenda provides a timely literature review on core topics related to consumer financial behavior. Chapters cover financial management behavior, desirable financial behavior and any financial behavior that helps improve financial wellbeing.
