This paper studies the relation between individuals’ mutual fund flows and fund characteristics, establishing three key results. First, consistent with tax motivations, individual investors are reluctant to sell mutual funds that have appreciated in value and are willing to sell losing funds. Second, individuals pay attention to investment costs as redemption decisions are sensitive to both exp...

In 1980s, many empirical researches’ findings (i.e., Shiller(1984), Thaler (1985) et al. ) did not support efficient market hypothesis (EMH). Previous studies (e.g., Bernartzi and Thaler, 1995) related to behavioral model suggest that certain market anomalies are consistent with the presence of irrational trades by investors. Kahneman and Tversky (1979) proposed the prospect theory as an altern...

Empirical studies show that individual investors do not always behave rationally and do not use standard investment portfolio selection tasks. In this paper we focus on investor choices and the basic elements affecting them. The paper presents optimization model based on a measure of investor satisfaction. The model is created on the basis of surveys conducted among Polish individual investors....

Information and communication technologies (ICTs) are the cornerstone for sustainable development, but if they not appropriately managed, will impede progress towards United Nations Global Sustainable Development Goals. Among undesirable impacts, emphasis must be put on risk of information security (ISec) breaches, as pose a potential threat to businesses there. Especially publicly traded firms...

We examine the situation when the investor wants to outperform a certain benchmark by actively trading in this asset, typically a stock index. We consider an investor who wants to minimize the expected shortfall in the case he fails to achieve this goal. Using recently developed techniques of Föllmer and Leukert, we can relate this optimal investment problem to option hedging. This allows us to...

This appendix reports the results for the baseline and yearly/quarterly context-based classifiers when using the 1:10 regulator cost setting. Since the AUC values are computed across different cost settings (and are therefore the same for the investor and regulator situations), we report only the legitimate/fraud recall rates. Overall AUC values as well as results for the investor cost setting ...

We show that the optimal asset allocation for an investor depends crucially on the theory with which the investor is modeled. For the same market data and the same client data different theories lead to different portfolios. The market data we consider is standard asset allocation data. The client data is determined by a standard risk profiling question and the theories we apply are mean–varian...

Using a new dataset of currency option prices, we study the evolution of investor confidence in 1992-1998 over the chance of individual currencies to converge to the Euro. Convergence risk, which may reflect uncertainty over policy commitment as well as exogenous fundamentals, induces a level of implied volatility in excess of actual volatility (volatility wedge). We show formally that confiden...

Abstract Adaptive online platforms, powered by artificial intelligence, commonly referred to as robo-advice, steadily increase their market share. Yet these comparably new financial services are critically understudied. Little is known about why some investors adopt robo-advice for something essential asset allocation. The current paper tries close this gap shedding light on the causal effect o...