Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices (Web Appendix)

35 Pages Posted: 7 Nov 2015

See all articles by Michele Costola

Michele Costola

Ca' Foscari University of Venice

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Date Written: November 6, 2015

Abstract

The authors present a rational learner agent, which considers the information coming from a behavioral counterpart during the allocation process.

The learner agent adopts a herding behavior by conditioning her choice on the selection of the portfolio's constituents.

They use the concept of performance measure to define agents' preferences: the higher the measure, the higher the expected utility of a given asset.

The rational learner agent updates her information in a Bayesian manner similarly to the Black-Litterman model.

Finally, the authors provide an empirical application including all the assets present in the NASDAQ and NYSE stock exchange from September 1977 to December 2014.

The paper "Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2617632

Keywords: combining performance measures, portfolio allocation, learning agent process

JEL Classification: G110, G140, G150, G170

Suggested Citation

Costola, Michele and Caporin, Massimiliano, Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices (Web Appendix) (November 6, 2015). Available at SSRN: https://ssrn.com/abstract=2687066 or http://dx.doi.org/10.2139/ssrn.2687066

Michele Costola (Contact Author)

Ca' Foscari University of Venice ( email )

Cannaregio 873
Venice, 30121
Italy

Massimiliano Caporin

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

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