Showing 1 - 10 of 86
This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment...
Persistent link: https://www.econbiz.de/10011293478
Persistent link: https://www.econbiz.de/10012254016
Persistent link: https://www.econbiz.de/10012417708
Persistent link: https://www.econbiz.de/10014483227
Persistent link: https://www.econbiz.de/10012211552
A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We...
Persistent link: https://www.econbiz.de/10012134428
Persistent link: https://www.econbiz.de/10015371423
This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self-financing strategies rebalance the portfolio over time so as to keep constant the proportions of wealth invested in various assets. The main result is that wealth can be grown...
Persistent link: https://www.econbiz.de/10003971114
family of associated homogeneous economies with only one class of investors. We consider cross sectional as well as …
Persistent link: https://www.econbiz.de/10003971310
We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...
Persistent link: https://www.econbiz.de/10003979998