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A Multivariate Model of Strategic Asset Allocation

Campbell, John Y. - 2001

Much recent work has documented evidence for predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method...

Persistent link: https://www.econbiz.de/10012470152

What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?

Grinblatt, Mark - 2002

profits across stock characteristics, season, and tax environment appear inconsistent with existing theory, but may point to …

Persistent link: https://www.econbiz.de/10012469971

Valuation of Variance Forecast with Simulated Option Markets

Engle, Robert F. - 1990

An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset … incremental profits for competing algorithms to forecast the variance of a prespecified asset. The test is based on the return … activity that requires a variance determined hedge ratio is an important component of the success of a variance forecast-algorithm …

Persistent link: https://www.econbiz.de/10012475683

Liquidity Shocks and Order Book Dynamics

Biais, Bruno - 2009

We propose a dynamic competitive equilibrium model of limit order trading, based on the premise that investors cannot monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a significant fraction of investors lose their willingness and...

Persistent link: https://www.econbiz.de/10012463640

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Dumas, Bernard - 2005

Our objective is to understand the trading strategy that would allow an investor to take advantage of "excessive" stock price volatility and "sentiment" fluctuations. We construct a general equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively...

Persistent link: https://www.econbiz.de/10012466868

Dynamic Asset Allocation With Event Risk

Liu, Jun - 2002

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....

Persistent link: https://www.econbiz.de/10012469608

Risk, Mispricing, and Asset Allocation : Conditioning on Dividend Yield

Shanken, Jay - 2001

In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and...

Persistent link: https://www.econbiz.de/10012470049

Style Investing

Barberis, Nicholas - 2000

We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance. Our assumptions imply that news about one style can affect the prices of other apparently unrelated...

Persistent link: https://www.econbiz.de/10012470692

A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets

Hong, Harrison - 1997

We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was...

Persistent link: https://www.econbiz.de/10012472491

Econometric Models of Limit-Order Executions

Lo, Andrew W. - 1997

This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...

Persistent link: https://www.econbiz.de/10012472554

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