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Equilibrium Prices in the Presence of Delegated Portfolio Management
Cuoco, Domenico; Kaniel, Ron - C.E.P.R. Discussion Papers - 2009
This paper analyzes the asset pricing implications of commonly-used portfolio management contracts linking the … compensation of fund managers to the excess return of the managed portfolio over a benchmark portfolio. The contract parameters …
Persistent link: https://www.econbiz.de/10008528548
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A Portfolio Theory of International Capital Flows
Devereux, Michael B; Saito, Makoto - C.E.P.R. Discussion Papers - 2006
portfolio in face of real and nominal risk. Current account deficits are financed by net capital flows which reflect … assets. This ensures stability of the world wealth distribution. An attractive feature of the model is that portfolio shares …
Persistent link: https://www.econbiz.de/10005123673
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A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion
Kandel, Shmuel; Kuznitz, Arik - C.E.P.R. Discussion Papers - 2004
This Paper studies a consumption and portfolio choice problem of a long-lived investor who derives pleasure not only … consumption has a tremendous effect on portfolio choice. In particular, mean allocation to stocks is much lower under the proposed …
Persistent link: https://www.econbiz.de/10005661498
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The Valuation Channel of International Adjustment
Ghironi, Fabio; Lee, Jaewoo; Rebucci, Alessandro - C.E.P.R. Discussion Papers - 2015
assets and liabilities. We examine this valuation channel theoretically in a dynamic equilibrium portfolio model with …, capital gains, and portfolio adjustment for consumption risk sharing when financial markets are incomplete, showing how these …
Persistent link: https://www.econbiz.de/10011266533
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A Generalized Portfolio Approach to Limited Risk Arbitrage: Evidence from the MSCI Global Index Change
Hau, Harald - C.E.P.R. Discussion Papers - 2007
setting with limits-to-arbitrage. The portfolio approach in Greenwood (2005) is generalized to allow for asymmetric …
Persistent link: https://www.econbiz.de/10005123677
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The Euro and International Capital Markets
Detken, Carsten; Hartmann, Philipp - C.E.P.R. Discussion Papers - 2000
international portfolio investments, such as relative market liquidity and relative risk characteristics of assets, are also …
Persistent link: https://www.econbiz.de/10005123910
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Increased Correlation in Bear markets: A Downside Risk Perspective
Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002
implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …
Persistent link: https://www.econbiz.de/10005124110
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Country and Industry Dynamics in Stock Returns
Catão, Luis A. V.; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004
industry factors are both in a high volatility state. Key implications for global portfolio allocation are discussed. …
Persistent link: https://www.econbiz.de/10005067673
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The Time-Varying Systematic Risk of Carry Trade Strategies
Christiansen, Charlotte; Ranaldo, Angelo; Söderlind, Paul - C.E.P.R. Discussion Papers - 2009
This paper suggests a factor model for carry trade strategies where the regression coefficients are allowed to depend on market volatility and liquidity. Empirical results on daily data from 1995 to 2008 show that a typical carry trade strategy has much higher exposure to the stock market and...
Persistent link: https://www.econbiz.de/10005034753
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The Exchange Rate Effect of Multi-Currency Risk Arbitrage
Hau, Harald - C.E.P.R. Discussion Papers - 2009
. Furthermore, they actively manage the portfolio risk of their speculative positions through hedging positions in correlated …
Persistent link: https://www.econbiz.de/10005034758