I develop a Markov model of samrt money chasing past winning funds while taking into account associated costs. The model also allows market capital entry and exit. The steady-state capital allocations re derived using constant transition probabilities. The results sugget that down side risk is...

Se estudia asignaciones óptimas de clases de activo (Asset Allocation) para afiliados representativos a las AFP con diferentes plazos para jubilar. Se supone que el afiliado desearía maximizar su pensión esperada al momento de jubilar, dado un nivel de riesgo. Entonces, la pregunta es qué...

Surveys of Australian superannuation funds verify that most international bond holdings, but not equity holdings, are hedged for currency risk. We compare the mean-variance efficiency of this practice with two alternative strategies: a conventional forward hedge; and a selective hedge triggered...

This paper presents a model developed to explain the life-cycle patterns in both homeownership and portfolio allocation, and the relationship between them, using a model of rational agents. Two key innovations are incorporated into this model. First, housing is explicitly modeled as both a...

The optimal organizational form and optimal incentive contract are characterized for a team of money managers, assuming that the investor (principal) is risk averse and that each manager's (agent's) actions affect both that manager's expected return and the correlation of returns between...

This paper investigates whether Japanese banks had been following herd behavior in the domestic loan market from 1975 through 2002. Applying the technique developed by Lakonishok, Shleifer, and Vishny (LSV) (1992, J. of Fin. Econ.) to the data of loans outstanding to different types of...

Credit sharing information mechanisms represent the institutional answer to the asymmetric information problems inherent to credit markets. It is generally accepted that sharing information is beneficial for the participant institutions, however, there are few studies that have measured the...

This paper investigates whether Japanese banks had been following herd behavior in the domestic loan market from 1975 through 2002. Applying the technique developed by Lakonishok, Shleifer, and Vishny (LSV) (1992, J. of Fin. Econ.) to the data of loans outstanding to different types of...

This paper studies subsampling hypothesis tests for panel data that are possibly nonstationary, and cross-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The number of cross-sectional units in the panel data...

The relationship between income distribution and economic growth has been found to depend on several factors such as capital markets imperfections, moral hazard, indivisibility in investments, and existence of dual economic characteristics. In recent literature the importance of geography has...