a r t i c l e i n f o The systematic and important role of investor sentiment has been supported by some recent empirical and theoretical literatures. In this paper, we present a dynamic asset pricing model with heterogeneous sentiments and we find that the equilibrium stock price is the wealth-share-weighted average of the stock prices that would prevail in an economy with one sentiment invest...

● This paper reviews several aspects of the asset allocation debate and offers observations to reshape or provide a fresh perspective. ● The first area of exploration is the debate over the well-known 1986 study by Brinson, Hood, and Beebower, in which they contend that the changes in portfolio return variations over time can be explained by static index implementation of asset allocation versu...

To examine post-retirement asset allocation, an extension to the classic Markowitz risk-return framework is suggested. Assuming that retirees make constant (real dollar) annual withdrawals from their portfolios, reward and risk measures are defined to be the mean and standard deviation of wealth remaining at end of life. Asset returns and time of death are both treated as random variables. Assu...

In this paper we compute the asset allocation obtained with different parametrizations of Cumulative Prospect Theory; in this settings, Prospect Theory and Expected Utility are seen as special cases. We first look for the optimal portfolio in an artificial financial market, where the asset returns are generated such that each return is endowed with some desired statistical properties (i.e. the ...

We compare asset allocations derived for cumulative prospect theory (CPT) based on two different methods: Maximizing CPT along the mean–variance efficient frontier and maximizing it without that restriction. We find that with normally distributed returns the difference is negligible. However, using standard asset allocation data of pension funds the difference is considerable. Moreover, with de...

I study a class of models commonly used to motivate monetary exchange, extended to include a physical asset whose expected short-run return is subject to exogenous news events, but whose expected long-run return is independent of this information. I show that there are circumstances in which the nondisclosure of news by an asset manager is welfareimproving. When nondisclosure is infeasible, the...

When consumption betas of stocks are computed using year-over-year consumption growth based upon the fourth quarter, the consumption-based asset pricing model (CCAPM) explains the cross-section of stock returns as well as the Fama and French (1993) three-factor model. The CCAPM's performance deteriorates substantially when consumption growth is measured based upon other quarters. For the CCAPM ...

Justifying investment in media asset management (MAM) and digital asset management (DAM) systems can be extremely difficult. The costs of these systems can be incredibly high, and IT departments must be able to justify the implementation and operating costs. Measuring return on investment (ROI) and cost avoidance is typically complicated as a result of implied soft costs and emerging technologi...