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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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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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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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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