SYRTO Working Paper Series: Rational learning for risk-averse investors by conditioning on behavioral choices

A new SYRTO Working Paper by Michele Costola and Massimiliano Caporin is out.

In this work, the authors present a rational learner agent, which considers the information coming from a behavioral counterpart during the allocation process.
The authors support their methodological framework with an empirical analysis including all the assets present in the NASDAQ and NYSE stock exchange from September 1977 to December 2014.