This study provides novel evidence on the role of ambiguity aversion in determining the response of mutual fund investors to historical fund performance information. We present a model of ambiguity averse investors who receive multiple performance-based signals of uncertain precision about manager skill. A key implication of the model is that when investors receive multiple signals of uncertain...

Cryptocurrencies (CCs) become more interesting for institutional investors' strategic asset allocation and will be a fixed component of professional portfolios in future. This class differs from established assets especially terms the severe manifestation statistical parameters. The question arises whether CCs with similar key figures exist. On this basis, core market incorporating comparable p...

Purpose: This article analyzes the influence of familiarity bias on respondents’ decision-making process, using results from online experiments. Design/methodology/approach: A total 255 research participants post-Soviet countries completed 510 tests that were presented in form investment games. In games, respondents allowed to sell, buy, or hold two types asset portfolios: familiar and unfamili...

This paper presents a general approximation method for characterizing timevarying equilibrium portfolios in a two-country dynamic general equilibrium model. The method can be easily adapted to most dynamic general equilibrium models, it applies to environments in which markets are complete or incomplete, and it can be used for models of any dimension. Moreover, the approximation provides simple...

We provide the first tests to distinguish whether individual investors equally balance their overall portfolios (naïve portfolio diversification, NPD) or, in contrast, values of same-day purchases multiple assets buying NBD). find NBD stocks, and mixed stocks funds. In there is little evidence NPD. Evidence suggests that arises due stock picking behavior neglect diversification. These findings ...

Cryptocurrencies (CCs) become more interesting for institutional investors’ strategic asset allocation and will be a fixed component of professional portfolios in future. This class differs from established assets especially terms the severe manifestation statistical parameters. The question arises whether CCs with similar key figures exist. On this basis, core market incorporating comparable p...

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity investments. Information about precisely dated cash flows at the company level enables for the first time a cash flow equivalent and simultaneous investment s...