Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle
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- Chakroun, Oussama & Dionne, Georges & Dugas-Sampara, Amélie, 2006. "Empirical evaluation of investor rationality in the asset allocation puzzle," Working Papers 06-11, HEC Montreal, Canada Research Chair in Risk Management.
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More about this item
Keywords
Investor rationality; asset allocation puzzle; risk tolerance; separation theorem; bonds/stocks ratio;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-10-28 (Finance)
- NEP-UPT-2006-10-28 (Utility Models and Prospect Theory)
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