Quick Search:

uzh logo
Browse by:
bullet
bullet
bullet
bullet

Zurich Open Repository and Archive

Dierkes, Maik; Erner, Carsten; Zeisberger, Stefan (2010). Investment horizon ant the attractiveness of investment strategies: A behavioral approach. Journal of Banking and Finance, 34(5):1032-1046.

Full text not available from this repository.

View at publisher

Abstract

We analyze the attractiveness of investment strategies over a variety of investment horizons from the viewpoint of an investor with preferences described by Cumulative Prospect Theory (CPT), currently the most prominent descriptive theory for decision making under uncertainty. A bootstrap technique is applied using historical return data of 1926–2008. To allow for variety in investors’ preferences, we conduct several sensitivity analyses and further provide robustness checks for the results. In addition, we analyze the attractiveness of the investment strategies based on a set of experimentally elicited preference parameters. Our study reveals that strategy attractiveness substantially depends on the investment horizon. While for almost every preference parameter combination a bond strategy is preferred for the short run, stocks show an outperformance for longer horizons. Portfolio insurance turns out to be attractive for almost every investment horizon. Interestingly, we find probability weighting to be a driving factor for insurance strategies’ attractiveness.

Citations

6 citations in Web of Science®
9 citations in Scopus®
Google Scholar™

Altmetrics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
DDC:330 Economics
Language:English
Date:May 2010
Deposited On:15 Nov 2010 16:55
Last Modified:27 Nov 2013 18:36
Publisher:Elsevier
ISSN:0378-4266
Publisher DOI:10.1016/j.jbankfin.2009.11.003

Users (please log in): suggest update or correction for this item

Repository Staff Only: item control page