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~isPartOf:"NBER Working Paper"
~person:"Roley, V. Vance"
~person:"Shleifer, Andrei"
~subject:"Portfolio-Management"
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Roley, V. Vance
Shleifer, Andrei
Mitchell, Olivia S.
8
Maurer, Raimond
6
Lo, Andrew W.
5
Bodie, Zvi
4
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4
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ECONIS (ZBW)
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1
A Model of Shadow Banking
Gennaioli, Nicola
-
2011
move together as in Adrian and Shin (2010), and iii) intermediaries increase their exposure to systematic
risk
as they … reduce their idiosyncratic
risk
through diversification, as in Acharya, Schnabl, and Suarez (2010). Under rational …
Persistent link: https://www.econbiz.de/10013123980
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2
Money Doctors
Gennaioli, Nicola
-
2012
underperform the market net of fees but investors still prefer to delegate money management to taking
risk
on their own, 2) fees …
Persistent link: https://www.econbiz.de/10013104732
Saved in:
3
Positive Feedback Investment Strategies and Destabilizing Rational Speculation
DeLong, J. Bradford
-
2008
Analyses of the role of rational speculators in financial markets usually presume that such investors dampen price fluctuations by trading against liquidity or noise traders. This conclusion does not necessarily hold when noise traders follow positive-feedback investment strategies buy when...
Persistent link: https://www.econbiz.de/10012774560
Saved in:
4
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
Saved in:
5
Style Investing
Barberis, Nicholas
-
2001
for reasons unrelated to
risk
. They also lead to a rich pattern of own- and cross-autocorrelations, sample premia that can …
Persistent link: https://www.econbiz.de/10012787895
Saved in:
6
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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7
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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8
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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9
Investor Sentiment and the Closed-End Fund Puzzle
Lee, Charles
-
2011
individual investor sentiment toward closed end funds and other securities. The
theory
implies that discounts on various funds …
Persistent link: https://www.econbiz.de/10012756869
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