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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George - 1999
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly...
Persistent link: https://www.econbiz.de/10012471407
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Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
Constantinides, George M. - 2002
By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security....
Persistent link: https://www.econbiz.de/10012469848
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Mutual Fund Performance Evaluation : A Comparison of Benchmarks and Benchmark Comparisons
Lehmann, Bruce N. - 1985
Our primary goal in this paper is to ascertain whether the absolute and relative rankings of managed funds are sensitive to the benchmark chosen to measure normal performance. We employ the standard CAPM benchmarks and a variety of APT benchmarks to investigate this question. We found that there...
Persistent link: https://www.econbiz.de/10012477358
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The Benchmark Inclusion Subsidy
Kashyap, Anil K. - 2018
We argue that a common practice of evaluating portfolio managers relative to a benchmark has real effects. Benchmarking …
Persistent link: https://www.econbiz.de/10012480988
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Is There Too Much Benchmarking in Asset Management?
Kashyap, Anil K. - 2020
We propose a model of asset management in which benchmarking arises endogenously, and analyze its unintended welfare … prices. Benchmarking inflates asset prices and gives rise to crowded trades, thereby reducing the effectiveness of incentive … crowding, opts for less benchmarking and less incentive provision. We also show that asset management costs are lower with …
Persistent link: https://www.econbiz.de/10012482239
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Benchmarking Money Manager Performance : Issues and Evidence
Lakonishok, Josef - 2006
Academic and practitioner research yields a proliferation of methods using size and value/growth attributes or factors to evaluate portfolio performance. We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios...
Persistent link: https://www.econbiz.de/10012466203
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Conditional Market Timing with Benchmark Investors
Becker, Connie - 1998
This paper tests models of mutual fund market timing that (1) allow the manager's utility function to depend on returns in excess of a benchmark; (2) distinguish timing based on lagged, publicly available information variables from timing based on finer information; and (3) simultaneously...
Persistent link: https://www.econbiz.de/10012472375
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Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation
Cremers, Martijn - 2012
Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas, even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas arise primarily from the disproportionate weight the Fama-French factors place on small...
Persistent link: https://www.econbiz.de/10012460609
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Avoiding the Curse of Dimensionality in Dynamic Stochastic Games
Doraszelski, Ulrich - 2005
Continuous-time stochastic games with a finite number of states have substantial computational and conceptual advantages over the more common discrete-time model. In particular, continuous time avoids a curse of dimensionality and speeds up computations by orders of magnitude in games with more...
Persistent link: https://www.econbiz.de/10012467603
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Asset Pricing at the Millennium
Campbell, John Y. - 2000
This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and on the tradeoff between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy. The...
Persistent link: https://www.econbiz.de/10012471180