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Wealth inequality and the optimal level of government debt

Röhrs, Sigrid; Winter, Christoph - Institut für Volkswirtschaftslehre, … - 2011

households are subject to idiosyncratic productivity shocks, insurance markets are missing and borrowing is restricted. In this …

Persistent link: https://www.econbiz.de/10009386339

Market Selection of Financial Trading Strategies: Global Stability

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - Institut für Volkswirtschaftslehre, …

In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market...

Persistent link: https://www.econbiz.de/10005760921

Prospect Theory and the CAPM: A contradiction or coexistence?

Levy, Haim; Giorgi, Enrico De; Hens, Thorsten - Institut für Volkswirtschaftslehre, …

Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds. However, under the...

Persistent link: https://www.econbiz.de/10005585616

Market Selection and Survival of Investment Strategies

Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - Institut für Volkswirtschaftslehre, …

The paper analyzes the process of market selection of investment strategies in an incomplete asset market. The payoffs of the as-sets depend on random factors described in terms of a discrete-time Markov process. Market participants make dynamic investment de-cisions based on their observations...

Persistent link: https://www.econbiz.de/10005585627

An Extension of Mantel (1976) to Incomplete Markets

Hens, Thorsten - Institut für Volkswirtschaftslehre, …

In the incomplete markets model with numeraire asset and a single con- sumption good we show that, even with homothetic … demand.This result is proved by an extension of Mantel (1976) to the case of incomplete markets. …

Persistent link: https://www.econbiz.de/10005627787

Excess Demand Functions with Incomplete Markets - A Global Result

Momi, Takeshi - Institut für Volkswirtschaftslehre, …

economy with incomplete real asset markets. We show that continuity, homogeneity and Walras’ law characterize the aggregate …

Persistent link: https://www.econbiz.de/10005627790

Evolution of Portfolio Rules in Incomplete Markets

Hens, Thorsten; Schenk-Hoppé, Klaus - Institut für Volkswirtschaftslehre, …

The paper considers the evolution of portfolio rules in markets with stationary returns and endogenous prices. The …

Persistent link: https://www.econbiz.de/10005627816

Evolutionary Stable Stock Markets

Evstigneev, Igor; Hens, Thorsten; Schenk-Hoppé, Klaus … - Institut für Volkswirtschaftslehre, …

This paper shows that a stock market is evolutionary stable if and only if stocks are evaluated by expected relative dividends. Any other market can be invaded by portfolio rules that will gain market wealth and hence change the valuation. In the model the valuation of assets is given by the...

Persistent link: https://www.econbiz.de/10005627823

An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index

Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Martin - Institut für Volkswirtschaftslehre, …

This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI). We study numerically the long-run outcome of the competition of rebalancing rules for market shares in a stock market with actual dividends taken from firms listed in the SMI....

Persistent link: https://www.econbiz.de/10005627836

An Evolutionary Approach to Financial Innovation

Bettzuege, Marc Oliver; Hens, Thorsten - Institut für Volkswirtschaftslehre, …

The purpose of this paper is to explain why some markets for financial products take off while others vanish as soon as … differentiated hedging opportunities. In particular, a set of complete markets forming a stationary equilibrium is robust with … respect to any further financial innovation while this is not necessarily true for a set of incomplete markets. …

Persistent link: https://www.econbiz.de/10005627854