Descriptive aspects of asset allocation decisions:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | German |
| Published: |
2003
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 198 S. graph. Darst. |
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MARC
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| 245 | 1 | 0 | |a Descriptive aspects of asset allocation decisions |c Alexander Klos |
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Record in the Search Index
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|---|---|
| adam_text | Contents
A Outline 13
B Short term or Long term 21
B.I Arguments from Investment Practice 24
B.2 Option Pricing Theory 32
B.3 Expected Utility Theory 35
B.3.I Basic Models 36
B.3.II Rejection of the Assumption of Constant Relative Risk Aversion 39
B.3.Ill Including Background Risk 40
B.3.IV The Influence of Mean Reversion 45
B.3.V Including the Predictability of Stock Returns 47
B.3.VI The Influence of Parameter Uncertainty 50
B.3.VII Investigation of Joint Effects 52
B.4 Conclusions 54
C Portfolio Choice in the Presence of Nontradeable Income 57
C.I Portfolio Choice Literature 59
C.I.I The Adjustment Effect, the Horizon Effect, and the Correlation
Effect GO
C.l.II Other Related Literature 62
C.2 Experimental Design 63
C.3 An Example 72
C.4 Experimental Results 73
C.4.I The Adjustment Effect 75
C.4.II The Horizon Effect 81
C.4.III The Correlation Effect 82
C.4.IV Differences Between the Treatments 85
C.5 Summary and Concluding Remarks 86
C.6 Appendix 87
C.6.I Screenshots 87
C.6.II Means, Medians, and Standard Deviations 89
C.6.III The Error Term Analysis 91
C.6.IV Differences between the two treatments in experiment 2 94
D How Do People Behave in the Face of Multiple Risks? 95
D.I Experimental Design and Results 97
D.I.I General Experimental Design 98
D.l.II Experiment 1 101
D.l.III Experiment 2 104
D.I.IV Summary of the Results and Discussion 110
D.l.V Differences Between Treatments 114
D.2 Conclusion 115
D.3 Appendix 116
D.3.I Screenshots 116
D.3.II Means, Medians, and Standard Deviations 117
E Risk Aversion and Portfolio Choice 119
E.I Experiment 1 121
E.I.I Design 121
E.l.II Results 124
E.2 Experiment 2 12G
E.2.I Design 126
E.2.II Results 128
E.3 Summary and Conclusion 132
E.4 Appendix 134
E.4.I Screen Shots 134
E.4.II Risk Aversion and Portfolio Choice in Experiment 1 137
F Risk Perception and Risk Behavior in Repeated Gambles 143
F.I Experimental Design and Hypotheses 148
F.I.I Decision Tasks 149
F.l.II Hypotheses 153
F.I.Ill Incentives and Procedure 156
F.l.IV Respondents 156
F.2 Results: Estimation of Summary Statistics 156
F.3 Results: Determinants of Risk Perception 159
F.4 Results: Risk Behavior 163
F.5 Results: Does Perceived Risk Predict Preference? 16G
F.6 Summary and Discussion 167
F.7 Appendix 170
F.7.I Screen Shots 170
F.7.II Determinants of Risk Perception Regression Results 177
F.7.III Attractiveness of Repeated Gambles 178
G The Investment Horizon and Dynamic Asset Allocation 179
G.I Experimental Design and Experimental Results 181
G.2 Concluding Remarks 183
G.3 Appendix 184
G.3.I Screen Shots 184
List of Figures
A.I General outline of the thesis 16
B.I Average annual returns fr for gross returns with log normal distribution 26
B.2 Annualized returns Stt for gross returns with log normal distribution . 28
B.3 Shortfall probability for different levels with returns of log normal dis¬
tribution 29
B.4 Different classes of investors 37
B.5 Optimal proportion of stock holdings for the next period in relation to
the expected risk premium for this period 50
C.I Simplifications 64
C.2 Riskless exogenous income 65
C.3 Risky exogenous income 66
C.4 An increase in risk 71
C.5 Hypothetical desired risk position 72
C.6 Wilcoxon Tests Treatment A Adjustment effect 75
C.7 Wilcoxon Tests Treatment B Adjustment effect 76
C.8 Illustration of a corridor 78
C.9 Smallest possible error term for each subject in Experiment 1 80
CIO Wilcoxon Tests Horizon Effect 81
C. 11 Wilcoxon Tests Treatment A Correlation effect 83
C.12 Wilcoxon Tests Treatment B Correlation effect 84
D.I General design Riskless exogenous income 99
D.2 General design Risky exogenous income 100
D.3 General design Treatment B 100
D.4 Wilcaxon Tests Introduction of an independent background risk Treat¬
ment A Experiment 1 103
D.5 Wilcoxon Tests Introduction of an independent background risk Treat¬
ment B Experiment 1 103
D.6 An increase in risk 105
D.7 Wilcoxon Tests Introduction of an independent background risk . . . 109
D.8 Wilcoxon Tests Introduction of a positive correlated background risk . 109
D.9 Wilcoxon Tests Introduction of a negative correlated background risk 110
D.10 Wilcoxon Tests Increase in the endogenous risk Ill
E.I Example for the graphical representation of the lotteries 122
E.2 Six different lotteries used in Chapter E 127
E.3 Histograms for self reported risk aversion and the risk attitude measure
based on binary lottery choices 129
F.I The four lotteries used in Chapter F 149
F.2 Outcome distribution of Lottery 1 for five independent plays 152
F.3 Aggregated distributions 154
F.4 Spearman correlation coefficients between risk perception and every risk
measure for every subject 162
List of Tables
B.I Possible preference and wealth position of a hypothetical investor K . . 41
B.2 Possible preference and wealth position of a hypothetical investor J . . 42
B.3 Summary of the effects of mean reversion and aversion 46
B.4 Summary of the effects of predictability 49
B.5 Summary of the effects of parameter uncertainty 53
B.O Summary of the main effects 53
C.I Possible preference and wealth position of a hypothetical investor ... 60
C.2 Every considered decision situation in experiment 1 70
C.3 Every considered decision situation in experiment 2 70
C.4 Differences between the treatments A and B 85
D.I Every considered decision situation in experiment 1 101
D.2 Every considered decision situation in experiment 2 104
D.3 Summery of the results of experiment 2 112
D.4 Differences between the treatments A and B 114
E.I Entry mask for the certainty equivalent questions 123
E.2 Mann Whitney tests and Spearman correlation coefficients Experiment 1125
E.3 Mann Whitney tests and Spearman correlation coefficients Experiment 2131
E.4 Regression results 132
F.I Estimates for the elicited risk measures 157
F.2 Perceived risk 160
F.3 Mean and median of Spearman and Pearson correlation coefficients for
the correlation between perceived risk and the discussed risk measures,
computed separately for every subject 161
F.4 Risk behavior and risk measures 163
F.5 Risk behavior and myopic loss aversion 164
F.6 Risk behavior and risk measures 166
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| id | DE-604.BV017677836 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:20:39Z |
| institution | BVB |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010629014 |
| oclc_num | 54029117 |
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| spelling | Klos, Alexander 1975- Verfasser (DE-588)128487089 aut Descriptive aspects of asset allocation decisions Alexander Klos 2003 198 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mannheim, Univ., Diss., 2003 Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Experimentelle Versuchsforschung (DE-588)4488711-5 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Risikoverhalten (DE-588)4050133-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s DE-604 Portfoliomanagement (DE-588)4115601-8 s Anlageverhalten (DE-588)4214003-1 s Risikoverhalten (DE-588)4050133-4 s Experimentelle Versuchsforschung (DE-588)4488711-5 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010629014&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Klos, Alexander 1975- Descriptive aspects of asset allocation decisions Anlageverhalten (DE-588)4214003-1 gnd Portfolio Selection (DE-588)4046834-3 gnd Experimentelle Versuchsforschung (DE-588)4488711-5 gnd Portfoliomanagement (DE-588)4115601-8 gnd Risikoverhalten (DE-588)4050133-4 gnd |
| subject_GND | (DE-588)4214003-1 (DE-588)4046834-3 (DE-588)4488711-5 (DE-588)4115601-8 (DE-588)4050133-4 (DE-588)4113937-9 |
| title | Descriptive aspects of asset allocation decisions |
| title_auth | Descriptive aspects of asset allocation decisions |
| title_exact_search | Descriptive aspects of asset allocation decisions |
| title_full | Descriptive aspects of asset allocation decisions Alexander Klos |
| title_fullStr | Descriptive aspects of asset allocation decisions Alexander Klos |
| title_full_unstemmed | Descriptive aspects of asset allocation decisions Alexander Klos |
| title_short | Descriptive aspects of asset allocation decisions |
| title_sort | descriptive aspects of asset allocation decisions |
| topic | Anlageverhalten (DE-588)4214003-1 gnd Portfolio Selection (DE-588)4046834-3 gnd Experimentelle Versuchsforschung (DE-588)4488711-5 gnd Portfoliomanagement (DE-588)4115601-8 gnd Risikoverhalten (DE-588)4050133-4 gnd |
| topic_facet | Anlageverhalten Portfolio Selection Experimentelle Versuchsforschung Portfoliomanagement Risikoverhalten Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010629014&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT klosalexander descriptiveaspectsofassetallocationdecisions |