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Asset Pricing Models : Implications for Expected Returns and Portfolio Selection

MacKinlay, A. Craig - 1999

Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of...

Persistent link: https://www.econbiz.de/10012471625

Comparing Asset Pricing Models : An Investment Perspective

Pastor, Lubos - 1999

We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal...

Persistent link: https://www.econbiz.de/10012471499

A Guide to Target Zones

Frenkel, Jacob A. - 1986

This paper identifies key issues surrounding the advisability and practicality of adopting "target zones" for the exchange rates of major currencies. Pour fundamental questions concerning the definition of and the rationale for target zones are addressed: first, what is generally meant by a...

Persistent link: https://www.econbiz.de/10012476956

The Limited Viability of Dual Exchange-Rate Regimes

Frenkel, Jacob A. - 1986

This paper examines the viability of dual exchange-rate regimes. Typically, under such a regime the exchange rates applicable to current-account(commercial) transactions and to capital-account (financial) transactions differ from each other. This difference may be determined in the free market...

Persistent link: https://www.econbiz.de/10012477173

Targeting Rules for Monetary Policy

Aizenman, Joshua - 1986

This paper develops an analytical framework for the analysis of targeting rules for monetary policy. We derive the optimal money supply rule and analyze the implications of other monetary rules including rules that target nominal GNP, the price level, the monetary growth rate and the...

Persistent link: https://www.econbiz.de/10012477194

Exchange Rate Management : Intertemporal Tradoffs

Helpman, Elhanan - 1985

The management of the exchange rate is possible only if the government pursues a monetary-fiscal policy mix which is consistent with its exchange rate targets. In this paper with uncertainty concerning the length of individual life the real consequences of exchange rate management depend on the...

Persistent link: https://www.econbiz.de/10012477494

Optimal Wage Indexation, Foreign-Exchange Intervention and Monetary Policy

Aizenman, Joshua - 1984

which affect the economy and by the information set that individuals possess. Because of cost of negotiations, nominal wages … available information and, may result in welfare loss. The analysis specifies the optimal set of feedback rules that should … independent sources of information that influence the determination of the undistorted equilibrium. Thus, it is shown that with a …

Persistent link: https://www.econbiz.de/10012477765

Balance-of-Payments Crises and Devaluation

Obstfeld, Maurice - 1983

The collapse of a fixed exchange rate is typically marked by a sudden balance-of-payments crisis in which"speculators" fleeing from the domestic currency acquire a large portion of the central bank's foreign exchange holdings.Faced with such an attack, the central bank often withdraws...

Persistent link: https://www.econbiz.de/10012477999

Aspects of the Optimal Management of Exchange Rates

Frenkel, Jacob A. - 1981

This paper analyzes aspects of the economics of the optimal management of exchange rates. It shows that the choice of the optimal exchange rate regime depends on the nature and the origin of the stochastic shocks that affect the economy. Generally, the higher is the variance of real shocks which...

Persistent link: https://www.econbiz.de/10012478367

Macroeconomic Policy, Exchange-Rate Dynamics, and Optimal Asset Accumulation

Obstfeld, Maurice - 1980

The paper develops a model of exchange-rate and current-account determination for a small economy peopled by infinitely lived, utility-maximizing households. In this setting, a central-bank purchase of foreign exchange has no real effects when central-bank foreign reserves earn interest at the...

Persistent link: https://www.econbiz.de/10012478526