Journal Article Been There, Done That: The Impact of Effort Investment on Goal Value and Consumer Motivation Get access Ying Zhang, Zhang Search for other works by this author on: Oxford Academic PubMed Google Scholar Jing Xu, Xu Zixi Jiang, Jiang Szu-Chi Huang Research, Volume 38, Issue 1, 1 June 2011, Pages 78–93, https://doi.org/10.1086/657605 Published: 15 October 2010

The main purpose of this article is to study the symmetric martingale property and capacity defined by G-expectation introduced Peng (cf. <a href="http://arxiv.org/PS_cache/math/pdf/0601/0601035v2.pdf">http://arxiv.org/PS_cache/math/pdf/0601/0601035v2.pdf</a>) in 2006. We show that G-capacity can not be dynamic, also demonstrate relationship between G-martingale under linear expectation. Based on these results path-wise analysis, we obtain characterization theorem for G Brownian motion...

We examine the problem of an investor who trades in a market with unobservable regime shifts. The learns from past prices and is subject to transaction costs. Our model generates significantly larger liquidity premia compared benchmark observable are driven primarily by suboptimal risk exposure, as turnover lower under incomplete information. In contrast, produces (mechanically) high heavy trading provide empirical support for amplification effect information on relation between costs future...

Abstract This work is devoted to a continuous time dynamic pension funding model in defined benefit plan of an employment system. We extend the analysis some standard models by incorporating source uncertainty outgo. The key assumption that random benefits increase on average at exponential rate. preference manager with main objective minimizing both contribution rate risk and solvency risk. Two different situations are studied regarding investment decisions. In first case, fund invested...

In response to how they are compensated, mutual fund managers who underperforming by mid-year likely increase the risk of their portfolios toward year-end. We argue that an in liquidity stocks use shift can lead size risky bets. This turn hurts investors increasing costs misaligned incentives associated with delegated portfolio management. provide both theoretical and empirical results consistent this argument. decimalization as exogenous shock identify causal effects.

The purpose of the present paper has been to test whether loss reserving models that rely on claim count data can produce better forecasts than chain ladder model (which does not counts); in sense being subject a lesser prediction error.

In asset return predictability, realized returns and future expected tend to move in opposite directions. This generates a tension between tax- market-timing incentives. this study, portfolio choice problem the presence of both predictability capital gains tax is examined. We characterize various features optimal trading strategy, demonstrate that strategy helps mitigate market- tax-timing. The calibrated model suggests can significantly increase utility loss due value deferring realization....

The internal markets of fund families can encourage member funds to deviate excessively from their investment mandates. Theoretically, we show that managers following sufficiently different style benchmarks engage in risk-shifting by trading with one another at low cost inside family. This benefits the and family even absence a family-level strategy. However, excessive risks taken be costly investors. Empirically, find support for positive effect intra-family diversity on offsetting trades...

Classical Eurasianism inherited the “genes” of Slavic resistance to European cultural monopoly, it offered its own view on typology civilizations and geopolitics created political philosophy. Based criticism universality Western civilization, classical Eurasianists put forward concept Russia as a unique Eurasian civilization gave their answer questions “who are we?” “where we going?” L.N. Gumilev, who called himself “the last Eurasianist,” became author civilizational theory in which...

Abstract Small stocks' time‐varying spreads predict future return gap between small and large stocks. To optimally exploit such predictability, the investor captures current risk premium by purchasing at with substantially reduced turnover; uses an aim‐in‐front‐of‐the‐target approach to trade‐off transaction costs; meets hedging demand low costs. Strong interaction costs predictability leads losses from myopic trading. Greater variability of spread is advantageous for investors who trade but...

Extant theories on the disposition effect are largely silent most of related trading patterns, including V-shape results for probabilities buying and selling against unrealized profit. On other hand, portfolio rebalancing learning have been shown to be important, even retail investors. We show that if expected returns unknown transaction costs nonzero, then alone can predict many results. Our model also provides new empirically testable predictions effect.