This research develops a stochastic model of the consumer´s decision making under an environment of risk and uncertainty. In the proposed model agents perceive that a mixed diffusion-jump process drives the exchange rate, ...

We present explicit formulas for evaluating the difference between Markowitz weights and those from optimal portfolios, with the same given return, considering either asymmetry or kurtosis. We prove that, whenever the ...

Purpose. Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in ...

This paper studies how di erences in portfolio choice between households help explain the highly unequal wealth distribution seen in the data. It has been well documented that participation rates are substantially smaller ...

Investidores em geral buscam maximizar seus retornos ao mesmo tempo em que minimizam seus riscos. Porém, a escolha dos ativos e seus pesos dentro de uma carteira de investimentos para a obtenção dos objetivos citados, não ...

Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas ...

Financial innovation in recent decades has expanded portfolio choice. We investigate how greater choice a¤ects investors.savings and asset returns. We establish a choice channel by which greater portfolio choice increases ...

We compare competitive equilibrium outcomes with and without trading by a privately infonned 'monopolistic' insider, in a model with real investment portfolio choices ex ante, and noise trading generated by aggregate ...

Choice overload is an effect related to great variety of options in user's choice experience. Other research efforts have shown that, when the number of options is increased, there occur adverse consequences to choice ...