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Module A - Asset Pricing and Portfolio Management

Project A1 - Behavioural Finance

Behavioural finance is a flourishing area of finance that studies biases in individual decision making and the market anomalies resulting thereof. In this project, rigorous models of portfolio choice at the level of the individual are derived that are consistent with the findings of psychological literature. In particular the project applies prospect theory, a behavioural theory to explain individual decision-making under uncertainty.

Concerning the level of the market, traditional asset pricing models with a single representative rational agent, and behavioural finance models with a single representative behavioural agent are combined to heterogeneous agent models, also known as "evolutionary finance" models. Phenomena like excess volatility, momentum and reversal can easily be explained by studying the interaction of heterogeneous agents. The project analyses, among other things, the conditions under which asset prices are mainly determined by rational agents, as well as which conditions may make markets irrational.

To successfully achieve these targets, the project employs several modern economic research methods: economic modelling, mathematical economics, financial econometrics and experimental economics.

Research Team

Prof. Thorsten Hens
+41 44 634 37 06
University of Zurich
Ms. Martine Baumgartner +41 44 634 37 37 martine.baumgartner@bf.uzh.ch
Senior Researchers and Post Docs
Dr. Kremena Bachmann-Damianova +41 44 634 35 84 kremena.bachmann@bf.uzh.ch
Prof. Ernst Fehr +41 44 634 37 09 ernst.fehr@econ.uzh.ch
Prof. Enrico De Giorgi +41 71 224 24 30 enrico.degiorgi@unisg.ch
Dr. Ian Krajbich +41 44 634 48 09 ian.krajbich@econ.uzh.ch
Prof. Janos Mayer +41 44 634 37 74 janos.mayer@business.uzh.ch
Dr. Kerstin Preuschoff +41 21 693 66 35 kerstin.preuschoff@epfl.ch
Dr. Sven Christian Steude +41 44 634 35 93 sven.steude@bf.uzh.ch
Dr. Stefan Zeisberger +41 44 634 54 36 stefan.zeisberger@bf.uzh.ch
Doctoral Students
Nilufer Caliskan +41 44 634 37 98 nilufer.caliskan@bf.uzh.ch
Jacopo Conte +41 71 224 25 76 jacopo.conte@unisg.ch
Sabine Elmiger +41 44 634 36 01 sabine.elmiger@bf.uzh.ch
Associated Participants
Prof. Peter Bossaerts +1 626 395 40 28 pbs@hss.caltech.edu
California Institute of Technology
Prof. Igor Evstigneev +44 161 275 42 75 igor.evstigneev@manchester.ac.uk
University of Manchester
Prof. Marc Oliver Rieger +49 651 201 27 22 mrieger@uni-trier.de
University of Trier
Prof. Klaus Reiner Schenk-Hoppe +44 113 343 51 87 k.r.schenk-hoppe@leeds.ac.uk
Leeds University Business School
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  The National Centres of Competence in Research (NCCR) are a research instrument of the
Swiss National Science Foundation.