In the model of asset appreciation advanced here, the market economy and the market of asset claims on the economy are modeled as organic (or exponential growth) processes, similar to those commonly seen in nature and the biological sciences. In this model, investors have a log-wealth utility function. Within the framework, the market risk premium is derived as the premium that balances supply ...

In this paper we discuss the existence of an optimal portfolio for every investor in a two-period Arrow-Debreu economy in which risky assets are contingent claims on aggregate consumption. Since we derive an optimal portfolio for every investor, the pricing kernel is endogenously determined. Hence the sufficient conditions for the existence of optimal portfolios given in this paper do not invol...

Mental accounting is in the form of a series cognitive operations used by individuals to code, categorize and evaluate their financial activities which development prospect theory, where each individual has tendency classify money into certain groups according criterion. From this background, researcher main objective study, find out meaning mental for investment decisions Indonesian cryptocurr...

We develop a rational model of investors who choose which asset payoffs to acquire information about, before forming portfolios. Scale economies in information acquisition lead investors to specialize in learning about a set of highly-correlated assets. Knowing more about these assets makes them less risky and more desirable to hold. Benefits to specialization compete with benefits to diversifi...

This paper provides both theoretical and empirical analyses of market participants’ optimal decision-making in trading Japanese equity mutual funds. First, we build an intertemporal decision-making model under uncertainty in the presence of transaction costs. This setting enables us to shed light on the investors’ option to delay investment. A comparative analysis shows that an increase in unce...

Assessing risk assets is one of the most important research issues in the financial field. There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of ris...

We investigate the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk. In particular, we analyse whether the discrepancy between the optimal allocation to real estate and the actual allocation by institutional investors is less when a Return/MaxDD framework is used. The empirical analysis...

We present a jump-diffusion international asset pricing model with stochastic exchange rates and inflation rates when investors consume both traded and nontraded goods. We argue that in general, the Adler-Duma inflation rate differential may not capture PPP deviation risks, unless all volatilities, drift rates and jumps rates for price levels, exchange rates and asset returns are constant, and ...

During the last decade, we have experienced two deep bear markets as results of internet bubble burst and mortgage crisis. Many investors suffered significant losses and found it hard to achieve their investment goals. The traditional investment theory such as mean-variance portfolio theory and Efficient Market Hypothesis (EMH), and associated practices such as buy-and-hold, or benchmark-centri...