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Inflation Tracking Portfolios
Downing, Chris - 2012
also find that long-short positions in equities play a dominant role in the effective hedging of inflation risk over …
Persistent link: https://www.econbiz.de/10013105462
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A Note on the Derivation of Linear Homogeneous Asset Demand Functions
Friedman, Benjamin M. - 2008
more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint … discrete time constant relative risk aversion and joint normally distributed asset return assessments are sufficient to yield …
Persistent link: https://www.econbiz.de/10012774846
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Dynamic Asset Allocation with Event Risk
Liu, Jun - 2002
and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … analytical solutions to the optimal portfolio problem. Event risk dramatically affects the optimal strategy. An investor facing … event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may …
Persistent link: https://www.econbiz.de/10012787129
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Bliss Points in Mean-Variance Portfolio Models
Jones, David S - 2010
When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...
Persistent link: https://www.econbiz.de/10012762598
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Two Trees : Asset Price Dynamics Induced by Market Clearing
Cochrane, John H. - 2010
If stocks go up, investors may want to rebalance their portfolios. But investors cannot all rebalance. Expected returns may need to change so that the average investor is still happy to hold the market portfolio despite its changed composition. In this way, simple market clearing can give rise...
Persistent link: https://www.econbiz.de/10012762707
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Symmetry Restrictions in a System of Financial Asset Demands : A Theoretical and Empirical Analysis
Roley, V. Vance - 2010
it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also …
Persistent link: https://www.econbiz.de/10012763139
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Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations : Unitary, Rational, or Autoregressive
Friedman, Benjamin M. - 2010
This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently...
Persistent link: https://www.econbiz.de/10012763222
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Valuing Thinly-Traded Assets
Longstaff, Francis A. - 2014
We model illiquidity as a restriction on the stopping rules investors can follow in selling assets, and apply this framework to the valuation of thinly-traded investments. We find that discounts for illiquidity can be surprisingly large, approaching 30 to 50 percent in some cases. Immediacy...
Persistent link: https://www.econbiz.de/10013045291