Blar i Discussion papers (FOR) på emneord "portfolio choice"

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    • Does prospect theory explain the disposition effect? 

      Hens, Thorsten; Vlcek, Martin (Discussion paper, Working paper, 2005-09)
      The disposition effect is the observation that investors hold winning stocks too long and sell losing stocks too early. A standard explanation of the disposition effect refers to prospect theory and in particular to the ...

    • Human capital, multiple income risk and social insurance 

      Schindler, Dirk (Discussion paper, Working paper, 2008-09)
      We set up an OLG-model, where households both choose human capital investment and decide on investing their endogenous savings in a portfolio of riskless and risky assets, exposing them to (aggregate) wage and capital risks ...

    • Intergenerational Effects of Guaranteed Pension Contracts 

      Døskeland, Trond M.; Nordahl, Helge A. (Discussion paper, Working paper, 2006-09)
      In this paper we show that there exist an intergenerational cross-subsidization effect in guaranteed interest rate life and pension contracts as the different generations partially share the same reserves. Early generations ...

    • On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach 

      Lensberg, Terje; Schenk-Hoppé, Klaus Reiner (Discussion paper, Working paper, 2006-12)
      This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic ...

    • Optimal Pension Insurance Design 

      Døskeland, Trond M.; Nordahl, Helge A. (Discussion paper, Working paper, 2006-09)
      In this paper we provide a framework for how the traditional life and pension contracts with a guaranteed rate of return can be optimized to increase customers’ welfare. Given that the contracts have to be priced correctly, ...

    • Wealth Taxation, Non-listed Firms, and the Risk of Entrepreneurial Investment 

      Schindler, Dirk (Discussion paper;5/18, Working paper, 2018-04-27)
      How to incorporate hard-to-value assets into the wealth tax? We analyze the effect of an optimal wealth tax on risk-taking behavior and welfare when investors do not only have the standard portfolio choice with a ...