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Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …

Persistent link: https://www.econbiz.de/10008532470

Liquidity Risk and the Dynamics of Arbitrage Capital

Kondor, Péter; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2014

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in closed form when arbitrageurs' utility over consumption is logarithmic or risk-neutral with a non-negativity constraint. Liquidity is increasing in...

Persistent link: https://www.econbiz.de/10011084683

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...

Persistent link: https://www.econbiz.de/10010745257

Ambiguity and the historical equity premium

Mukerji, Sujoy; Sheppard, Kevin; Collard, Fabrice; … - Department of Economics, Oxford University - 2011

This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and prices. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10009018961

Asset Prices and Institutional Investors

Basak, Suleyman; Pavlova, Anna - C.E.P.R. Discussion Papers - 2012

Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this...

Persistent link: https://www.econbiz.de/10011083249

Providing financial education: a general equilibrium approach

Padula, Mario; Pettinicchi, Yuri - C.E.P.R. Discussion Papers - 2013

Since the early 2000s, the importance of financial literacy for safe financial behaviors has increased in public debate and has been the motivation for several national and international institutions to launch and promote financial education initiatives. Although discussion on the effects of...

Persistent link: https://www.econbiz.de/10011084571

Asset Pricing with Adaptive Learning

Carceles-Poveda, Eva; Giannitsarou, Chryssi - C.E.P.R. Discussion Papers - 2007

We study the extent to which self-referential adaptive learning can explain stylized asset pricing facts in a general equilibrium framework. In particular, we analyze the effects of recursive least squares and constant gain algorithms in a production economy and a Lucas type endowment economy....

Persistent link: https://www.econbiz.de/10005789201