Showing 1 - 10 of 36
Smart-beta (or factor) investing industry's assets under management have grown to over $1 trillion. We attempt to survey the merits and risks of this investment style from both professional investors' and academics' points of view. After reviewing academic papers, reports of practitioners in the...
Persistent link: https://www.econbiz.de/10012910434
Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering consumption of durable goods in addition to that of...
Persistent link: https://www.econbiz.de/10012888849
Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account the evolution of wealth of cash holders versus non cash holders. Cash...
Persistent link: https://www.econbiz.de/10014032025
This paper studies the default anomaly that has been documented in the literature. We show that after controlling for the default-risk premium the default anomaly disappears. In contrast, controlling for credit spreads does not fully eliminate the anomaly. We also relate our results to the IVOL...
Persistent link: https://www.econbiz.de/10013118444
We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic di erential utility, as introduced by Du e and Epstein (1992), in the continuous-time limit of vanishing grid size
Persistent link: https://www.econbiz.de/10013092753
We establish a powerful method to solve the life-cycle consumption choice problem of an individual facing biometric risks that are uninsurable. Problems of this type are notoriously hard to solve and closed-form solutions are unknown. The solution is obtained by optimizing over a parametrized...
Persistent link: https://www.econbiz.de/10012897281
This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that...
Persistent link: https://www.econbiz.de/10013113357
This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for...
Persistent link: https://www.econbiz.de/10003966074
The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of a short-run equilibrium. Investors use general, adaptive strategies (portfolio rules) depending on the exogenous states of the world and the observed history of the game....
Persistent link: https://www.econbiz.de/10003966080
This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas...
Persistent link: https://www.econbiz.de/10003971097