Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 34 for “"Portfolio choice"”.
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Household savings and portfolio choice
… three essays that examine household savings and portfolio choice behavior. Chapter One analyses the effects of employer matching contributions and tax incentives on participation and contribution behavior in employer-sponsored 401(k) savings plans. Employer sponsored retirement savings plans …
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Portfolio choice with uninsurable labor earnings
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1998.
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Essays in consumption and portfolio choice
This thesis analyzes optimal consumption and portfolio strategy by considering three different extensions to the classic work by Merton (1971). The first chapter considers consumption and strategic asset allocation when expected returns are predictable for Epstein-Zin preferences. The second …
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Essays on loss aversion and household portfolio choice
… health insurance in a hypothetical insurance choice experiment. These results are consistent with prospect theory, which predicts that loss-aversion may decrease insurance demand if individuals' reference points are 'the wealth level when they do not engage in insurance contracts.' Under such …
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Intertemporal portfolio choice: An application to agricultural investment
This research analyzes optimal off-farm investment decisions for a Central Illinois hog farm in the presence of bankruptcy costs. Optimal decisions are derived using a stochastic dynamic programming (SDP) model which incorporates the stochastic dynamic nature of investment returns and the …
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Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice
… statics results for the distribution of portfolio payoffs. Margin requirements have long been implemented in almost all financial markets and are often used as an important regulatory tool for improving market conditions. However, their economic impact beyond affecting default risk is …
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An Empirical Analysis of Financial Optimism and Portfolio Choice
… financial optimism and individual investors’ portfolio choice. I also investigate whether optimism benefits an investor’s objective and subjective well-being within the same study by using large-scale survey data. I then explore how feedback, framing, and personality, contribute to financial …
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Optimal portfolio choice : beyond the traditional expected utility maximization paradigm
This thesis focuses on two major portfolio selection approaches: the traditional mean-variance approach and the heuristic approach based on risk budgeting. The main results from mean-variance are reviewed, as well as some novel results, followed by new contributions in the area of calculating …
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Optimal bank portfolio choice and bank regulation: The Indonesian case
… per entrepreneur and the number of loans become choice variables (this makes the intermediary able to economize monitoring cost by investing more in one project). The modification allows us to determine the optimal bank size, the effect of a bank's assets on its return, and the effect of a bank's …
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Optimal versus naive diversification : do different loss functions improve portfolio choice?
… weight, minimum variance and mean-variance model portfolios in different settings. In each setting, I vary the loss function used when estimating returns and covariances, length of the estimation window, and number of factors used in our estimation model. I find that when measuring performance by …
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IT portfolio characteristics and choices
… IT investments made by a firm can be viewed as a portfolio. One challenging decision thus is the selection of a superior IT portfolio. The main proposal of this dissertation is that the characteristics of IT project investment could influence the quality of IT portfolio choice. The methodology of …
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Multistage mean-variance portfolio selection in cointegrated vector autoregressive systems
The problem of portfolio choice is an example of sequential decision making under uncertainty. Investors must consider their attitudes towards risk and reward in face of an unknown future, in order to make complex financial choices. Often, mathematical models of investor preferences and asset …
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Essays in the economics of retirement income security and household decision-making
… couple's dynamic investment and consumption choices under the assumption that the couple cannot commit across time to not to renegotiate their decisions. The inefficiencies that can arise are characterized. Efficiency properties of different divorce asset division regimes are examined. The …
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Essays in Financial Economics
… studies the issue of loss-aversion and household portfolio choice. Calibrated models of household portfolio choice generate two counterfactual predictions: that all households will participate in equity markets, and that households will allocate all of their wealth to equity. In this essay I test …
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Three essays in finance and macroeconomics
… with E. Farhi) we study optimal consumption and portfolio choice in a framework where investors save for early retirement. We assume that agents can adjust their labor supply only through an irreversible choice of their retirement time. We obtain closed form solutions and analyze the joint …
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The economic and social consequences of housing tenure
… that entail economic and social dimensions: portfolio choice, mental health, and voting behaviour. It does so by crystallising the fundamental features of housing tenure and by characterising conceptually tenure transitions as salient events, drawing tight links to recent advances in the …
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Essays on financial economics
… Next, I turn to a problem in behavioral portfolio choice: It has been shown that the portfolio choice problem faced by a behavioral agent that maximizes Choquet expected utility is equivalent to solving a quantile linear regression. However, if the agent faces a vast set of assets or when …
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Essays in Household and Behavioral Finance
… the role of risk preferences and frictions in portfolio choice, using variation in the default asset allocation of 401(k) plans. We estimate that absent participation frictions, 94% of investors would prefer holding stocks in their retirement accounts, with an equity share of retirement wealth …
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General superposition strategies and asset allocation
… has been little discussion of their impact on portfolio performance in classic portfolio choice theory. In this thesis, I remedy this situation by discussing the performance impact of stopping rules, highlighting the stop-loss rule. Stop-loss rules-predetermined policies that reduce a …
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The choice-theoretic characterizations of risk changes and risk attitudes in cumulative prospect theory : a stochastic dominance approach
… utility theory. This thesis aims to provide a choice-theoretic characterization for risk changes and risk attitudes under CPT using a stochastic dominance approach. This thesis identifies a set of stochastic dominance conditions to generalize the notions of increase in risk, strong risk …
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