The equity premium puzzle refers to the empirical fact that stocks have outperformed bonds
over the last century by a surprisingly large margin. We offer a new explanation based on …

The distinction between subjective and objective risk tolerance is illustrated by expected
utility analyses of portfolios. Optimal portfolios were derived for one, 5, and 20 year …

The paper reports the results of an experiment on individual investors' risk perception in a
financial decision making context under two different modes of information presentation …

Myopic loss aversion (MLA) has been proposed as an explanation for the equity premium
puzzle, and experiments indicate that investors exhibit behavior consistent with MLA. But a …

To test for arbitrage opportunities and market efficiency in the Hong Kong money, stock, and
real estate markets, we find that the money market stochastically dominates both the stock …

Time diversification is the idea that the risk of meeting an investment objective can be
reduced if risky portfolios with high expected returns are held over long periods of time …

Some financial theorists reject the widely held practitioner belief in time diversification. The
theorists argue that, given serially uncorrelated returns, holding a risky asset over longer …

This study aims to optimize the multi-period investment portfolio model with lower partial
moments (LPM) as a measure of risk under transaction costs constraint. A new method is …

The box of factors that we call “risk” is both too large and too small. The box is large enough
to include many, sometimes conflicting, measures of risk—variance and semivariance …

This research investigates the persistence of investment risk across time horizon, a crucial
issue in asset allocation decisions. Previous empirical results have focused mainly on US …