Showing 1 - 10 of 21
We model how investors allocate between asset managers, managers choose their portfolios of multiple securities, fees are set, and security prices are determined. The optimal passive portfolio is linked to the “expected market portfolio,” while the optimal active portfolio has elements of...
Persistent link: https://www.econbiz.de/10012851298
"We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin...
Persistent link: https://www.econbiz.de/10009558371
Persistent link: https://www.econbiz.de/10003726918
Persistent link: https://www.econbiz.de/10003287776
Persistent link: https://www.econbiz.de/10003870636
We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....
Persistent link: https://www.econbiz.de/10013135232
Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...
Persistent link: https://www.econbiz.de/10013097662
We consider a model where investors can invest directly or search for an asset manager, information about assets is …
Persistent link: https://www.econbiz.de/10013015107
The dangers of shouting "fire" in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the risk,...
Persistent link: https://www.econbiz.de/10013151054
We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current...
Persistent link: https://www.econbiz.de/10013151649