scholarly journals Portfolio Choice toward Bank Related and Non Bank Related Mutual Funds in Thailand: A Case of Bangkok

2012 ◽  
Vol 40 ◽  
pp. 726-730
Author(s):  
Mateepithaktham Chanchai
Keyword(s):  
Mutual Funds ◽  
Portfolio Choice

Portfolio Choice toward Long-Term Mutual Funds in Thailand

2017 ◽  
Author(s):  
Adisorn Promkaewngarm ◽  
Jirarat Pipatnarapong ◽  
Natdanai Aleenajitpong ◽  
Sompong Promsa-ad
Keyword(s):  
Mutual Funds ◽  
Portfolio Choice

scholarly journals Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

2020 ◽  
Author(s):  
Stephen G Dimmock ◽  
Roy Kouwenberg ◽  
Olivia S Mitchell ◽  
Kim Peijnenburg
Keyword(s):  
Mutual Funds ◽  
Portfolio Choice ◽  
Real World ◽  
Sharpe Ratio ◽  
Probability Weighting ◽  
Representative Survey ◽  
Decisions Under Risk ◽  
Household Portfolio ◽  
Household Portfolio Choice ◽  
Low Probability

Abstract We test whether probability weighting affects household portfolio choice in a representative survey. On average, people display inverse-S-shaped probability weighting, overweighting low probability events. As theory predicts, probability weighting is positively associated with portfolio underdiversification and significant Sharpe ratio losses. Analyzing respondents’ individual stock holdings, we find higher probability weighting is associated with owning lottery-type stocks and positively skewed equity portfolios. People with higher probability weighting are less likely to own mutual funds and more likely to either avoid equities or hold individual stocks. We are the first to empirically link individuals’ elicited probability weighting and real-world decisions under risk.

Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence

2009 ◽  
Vol 44 (4) ◽  
pp. 745-775 ◽  
Author(s):  
Hsiu-lang Chen ◽  
George G. Pennacchi
Keyword(s):  
Standard Deviation ◽  
Mutual Funds ◽  
Portfolio Choice ◽  
Mutual Fund ◽  
Empirical Studies ◽  
Tracking Error ◽  
Fund Performance ◽  
Portfolio Risk ◽  
Tracking Errors ◽  
Equity Mutual Funds

AbstractRecent empirical studies of mutual fund competition examine the relation between a fund’s performance, the fund manager’s compensation, and the fund manager’s choice of portfolio risk. This paper models a manager’s portfolio choice for compensation rules that can be either a concave, linear, or convex function of the fund’s performance relative to that of a benchmark. For particular compensation structures, a manager increases the fund’s “tracking error” volatility as its relative performance declines. However, declining performance does not necessarily lead the manager to raise the volatility of the fund’s return. The paper presents nonparametric and parametric tests of the relation between mutual fund performance and risk taking for more than 6,000 equity mutual funds over the 1962 to 2006 period. There is a tendency for mutual funds to increase the standard deviation of tracking errors, but not the standard deviation of returns, as their performance declines. This risk-shifting behavior appears more common for funds whose managers have longer tenures.

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