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SUMMARY:Investor Confidence and Portfolio Dynamics - Raman Uppal\, EDHEC
DTSTART:20210128T130000Z
DTEND:20210128T140000Z
UID:TALK150283@talks.cam.ac.uk
CONTACT:CERF/CF Admin
DESCRIPTION:Abstract\nTo explain the empirically observed heterogeneity in
  household portfolio and\nwealth dynamics\, we develop a general-equilibri
 um framework with multiple risky\nassets along with households that differ
  in their confidence about the return pro-\ncess for the risky assets. Con
 sistent with recent empirical evidence\, less-confident households overinv
 est in safe assets\, hold underdiversified portfolios concentrated in fami
 liar assets\, are trend chasers\, and earn lower absolute and risk-adjuste
 d investment returns. More confident investors hold riskier positions and 
 exhibit superior market-timing abilities. The model also explains why this
  investment behavior\, despite Bayesian learning and optimal decision\, pe
 rsists for long periods\, thereby exacerbating wealth inequality.
LOCATION:Online
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