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Stochastic Dominance Efficiency Tests under Diversification

Kuosmanen, Timo - EconWPA - 2001

This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD. Using these insights, we develop simple Linear...

Persistent link: https://www.econbiz.de/10005561692

Portfolio Optimization With Stochastic Dominance Constraints

Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2004

We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for...

Persistent link: https://www.econbiz.de/10005561562

Opinion Pooling under Asymmetric Information

Dietrich, Franz - EconWPA - 2004

If each member of a group assigns a certain probability to a hypothesis, what probability should the collective as a whole assign? More generally, how should individual probability functions be merged into a single collective one? I investigate this question in case that the individual...

Persistent link: https://www.econbiz.de/10005412461

Learning versus Diversification in Project Choice

Subramanian, Narayanan; Menon, Nidhiya - EconWPA - 2004

We study the issue of project choice when a risk-averse agent must choose whether to invest in two projects of the same … speed of learning (ii) the type-specific risk and (iii) his risk- aversion and investment horizon. We show that, contrary to … intuition, an increase in type-specific risk may lead to a decrease in diversification. Our theory is applicable to occupational …

Persistent link: https://www.econbiz.de/10005407512

Banks' equity stakes in borrowing firms: A corporate finance approach

Vauhkonen, Jukka - EconWPA - 2004

In most countries, banks’ equity holdings in firms that borrow from then are rather small. In light of the theoretical literature, this is somewhat surprising. For example, according to agency cost models, allowing banks to hold equity would seem to alleviate firms’ asset substitution moral...

Persistent link: https://www.econbiz.de/10005062370

Bank Risk-Taking in a Prospect Theory Framework Empirical Investigation in the Emerging Markets’ Case

Godlewski, Christophe - EconWPA - 2004

bank risk-taking behavior. We especially focus on the different valuation of gains and losses relative to a reference point …, and the changing attitude toward risk conditional on the domain (gains vs losses) features (Tversky and Kahneman 1992). We … follow a methodology based on Fiegenbaum and Thomas (1988) and the Fishburn (1977) measure of risk, applied to a sample of …

Persistent link: https://www.econbiz.de/10005413102

On the Stability of Different Financial Systems

Fecht, Falko - EconWPA - 2003

An economy in which deposit-taking banks of a Diamond/Dybvig style and an asset market coexist is modelled. Firstly, within this framework we characterize distinct financial systems depending on the fraction of households with direct investment opportunities that are less efficient than those...

Persistent link: https://www.econbiz.de/10005076982

Sequential Models of Bertrand Competition for Deposits and Loans under Asymmetric Information

Bracoud, Frédérique - EconWPA - 2002

This paper analyzes sequential games of double-sided Bertrand competition in the deposit and credit markets, when banks are free to reject customers and cannot distinguish among borrowers. The timing of competition is crucial when customers apply once. Interest rates are pushed upwards when the...

Persistent link: https://www.econbiz.de/10005550896

What is the Link Between Margin Loans and Stock Market Bubbles?

Ricke, Markus - EconWPA - 2003

As a reaction to the general suspicion that margin loans had been a key element of the stock market boom and crash of the late 1920s, the Federal Reserve Bank was empowered to regulate margin lending with the Securities and Exchange Act. The efficacy of the Federal Reserve's margin policy has...

Persistent link: https://www.econbiz.de/10005561621

Relationship lending and competition: Higher switching cost does not necessarily imply greater relationship benefits

Vesala, Timo - EconWPA - 2005

This paper studies relationship lending in a framework where the cost of switching banks measures the degree of banking competition. The relationship lender’s (insider bank’s) informational advantage creates a lock-in effect, which is at its height when the switching cost is infinitesimal....

Persistent link: https://www.econbiz.de/10005134694