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Risk aversion, nois...
Risk aversion, noise, and optimal investments
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- Hardardottir, Hjördis (författare)
- Lund University,Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Department of Economics,Lund University School of Economics and Management, LUSEM
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- Lundtofte, Frederik (författare)
- Lund University,Lunds universitet,Knut Wicksells centrum för finansvetenskap-lup-obsolete,Forskargrupper vid Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Knut Wicksell Centre for Financial Studies-lup-obsolete,Lund University Research Groups,Department of Economics,Lund University School of Economics and Management, LUSEM
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(creator_code:org_t)
- 2017-04-30
- 2017
- Engelska 9 s.
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Ingår i: Journal of Portfolio Management. - : Pageant Media US. - 0095-4918 .- 2168-8656. ; 43:3, s. 51-59
- Relaterad länk:
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http://dx.doi.org/10...
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visa fler...
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https://lup.lub.lu.s...
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https://doi.org/10.3...
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Abstract
Ämnesord
Stäng
- In contrast to the efficient market hypothesis (EMH), the noisy market hypothesis (NMH) asserts that prices are but noisy indications of fundamental values. The authors study losses in certainty equivalents of investing according to one hypothesis (NMH or EMH) when the other is true. Their findings suggest that, for reasonable parameter values, investing according to the EMH when the NMH is true yields lower losses than investing according to the NMH when the EMH is true. Further, investing according to the right hypothesis is much more important for risk-tolerant investors than for risk-averse investors.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
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