The Role of Learning in Dynamic Portfolio Decisions This paper analyzes the effect of uncertainty about the mean return on the risky asset on the portfolio decisions of an investor who has a long investment horizon. Building on the earlier work of Detemple (1986), Dothan and Feldman (1986), and Gennotte (1986), it is shown that the possibility of future learning about the mean return on the ris...

Trust is an important determinant of start-up fi nancing. In a simple agentbased model it is determined what the best trusting strategy is for a collective of investors and whether it is rational for an individual investor to deviate from this collective optimum. Trust depends on a measure of social distance and is the precondition for investment. Trust increases and decreases based on whether ...

Résumé : We study the specific rationale governing entrepreneur-investor relations in young ventures which raise equity capital from different investor types in pursuit of a strong growth strategy. Special emphasis is put on the governance process through which investors and entrepreneurs interact in a complex setting, where an entrepreneur faces at least two distinct investor types (business a...

This paper studies how information disclosure a ects investment e ciency and investor welfare in a dynamic setting in which a rm makes sequential investments to adjust its capital stock over time. We show that the e ects of accounting disclosures on investment e ciency and investor welfare crucially depend on whether such disclosures convey information about the rm's future capital stock or abo...

The discount on closed-end funds is widely accepted as proof of investor irrationality. We show, to the contrary, that a very simple parsimonious rational model can generate a discount that exhibits the behavior observed in practice. The only required features of the model are that managers have (imperfectly observable) ability to generate excess returns; they sign long-term contracts guarantee...

We consider the robust hedging problem in which an investor wants to super-hedge an option in the framework of uncertainty in a model of a stock price process. More specifically, the investor knows that the stock price process is H -self-similar with H ∈ (1/2, 1), and that the log-returns are Gaussian. This leads to two natural but mutually exclusive hypotheses both being self-contained to fix ...

A behavioral representative investor who evaluates a single risky asset based on cumulative prospect theory will often induce high kurtosis, negative skewness, and persistent autocorrelation into the distribution of market returns even if the asset payoffs are merely a sequence of independent coin tosses. These findings continue to hold even when the investor is simply loss averse.