Nathan Lassance, Rodolphe Vanderveken, and Frédéric Vrins ♦ We introduce a method to determine the investor’s optimal portfolio size that maximizes the expected out-of-sample utility under parameter uncertainty. This portfolio size trades off between accessing investment opportunities and limiting the…
Yaron Levi ♦ We study whether information design influences consumer behavior in a randomized field experiment with users of an online account aggregation app. Participants received a personalized index representing their net worth as a lifetime monthly cash flow. The…
Jie (Jay) Cao, Amit Goyal, Xintong (Eunice) Zhan, and Weiming (Elaine) Zhang ♦ We find that option expensiveness, measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the options market to hedge…
Soon Heng Leong ♦ This paper offers two novel backtests to evaluate the adequacy of well-known systemic risk measures such as CoVaR, MES, SES, and SRISK. Both the new backtests are robust to estimation risk, that is, their null distributions…
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Jules H. van Binsbergen, Jeong Ho (John) Kim, and Soohun Kim ♦ We exploit heterogeneity in decreasing returns to scale parameters across mutual funds to analyze the importance of scalability for investors’ capital allocation decisions. We find strong evidence that…
