We provide a formal treatment of both static and dynamic portfolio choice using the Disappointment Aversion preferences of Gul (1991), which imply asymmetric aversion to gains versus losses. Our dynamic formulation nests the standard CRRA asset allocation problem as a special case. Using realistic data generating processes, we find reasonable equity portfolio allocations for disappointment aver...

Urgent measures to save falling stocks of tuna in the world's second biggest tuna fishery — the eastern Pacific— have failed to be implemented, according to several environmental groups. Closure of the fishery, both by area and by time, was demanded by the groups to protect rapidly decreasing Pacific populations of yellowfin and bigeye tuna. But the annual meeting of the Inter American Tropical...

In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed into a systemic part proportional to the log-returns of the index plus an idiosyncratic part. We show that, when the number of stocks in the index is large, t...

We investigate large-scale facility location models that consider the risk pooling effects of centralizing safety stocks when customer demands are correlated across customer locations. This problem has not been well studied, perhaps because the calculation of safety stock levels with correlated demands requires significant computational effort. The experimental evaluation of any proposed proced...

"Attention is a scarce cognitive resource" − Daniel Kahneman. Literature on attention and its asset pricing implications suggests that people pay attention to stocks that appear in the media and people tend to buy attention-grabbing stocks. Stock recommendations from the TV show Mad Money and Wall $treet Week have proven to catch people’s attention and create price pressure on the stocks recomm...

Many empirical studies document the value effect. One explanation is that investors overreact to growth aspects for growth stocks. We apply Stein's (1989) method to investigate whether the degree of overreaction differs between value and growth stocks using the implied volatility from option prices. A finding of overreaction for either value stocks or growth stocks would lend support to overrea...

In this work, we present our findings and experiments for stock-market prediction using various textual sentiment analysis tools, such as mood analysis and event extraction, as well as prediction models, such as LSTMs and specific convolutional architectures.