Showing 1 - 8 of 8
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...
Persistent link: https://www.econbiz.de/10003970340
-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the … Fee ; Mutual Fund ; Asymmetric Information ; Principal-Agent Relationship ; Markup …
Persistent link: https://www.econbiz.de/10009561613
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be...
Persistent link: https://www.econbiz.de/10009009600
Persistent link: https://www.econbiz.de/10003961709
an asymmetric information framework. The model shows that investors' perceptions of the fund market play the key role in …
Persistent link: https://www.econbiz.de/10003966647
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974
We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...
Persistent link: https://www.econbiz.de/10012271124
We propose a dynamic Rational Expectations (RE) bubble model of prices with the intention to exploit it for and evaluate it on optimal investment strategies. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...
Persistent link: https://www.econbiz.de/10011865575