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Equilibrium Driven by Discounted Dividend Volatility

Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009

We derive representations for the stock price drift and volatility in theequilibrium of agents with arbitrary, heterogeneous utility functionsand with the aggregate dividend following an arbitrary Markov diffusion.We introduce a new, intrinsic characteristic of the aggregate dividendprocess that...

Persistent link: https://www.econbiz.de/10005868698

Equilibrium driven by discounted dividend volatility

Cvitanić, Jakša; Malamud, Semyon - 2009

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffusion. We introduce a new, intrinsic characteristic of the aggregate dividend process...

Persistent link: https://www.econbiz.de/10003971106

Financial markets equilibrium with heterogeneous agents

Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

Persistent link: https://www.econbiz.de/10003971310

Price impact and portfolio impact

Cvitanić, Jakša; Malamud, Semyon - 2010

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

Nonmyopic optimal portfolios in viable markets

Cvitanić, Jakša; Malamud, Semyon - 2010

We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general di usion process and the market consists of one risky asset and a risk-free asset. The key term of our representation is a new...

Persistent link: https://www.econbiz.de/10008797739

Optimal fund menus

Cvitanić, Jakša; Hugonnier, Julien - 2018

We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the preferences of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be explicitly constructed from the solution to a calculus of...

Persistent link: https://www.econbiz.de/10011900225

Market efficiency reloaded: why insider trades do not reveal exploitable information

Dickgiesser, Sebastian; Kaserer, Christoph - 2008

by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs … from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid … mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market …

Persistent link: https://www.econbiz.de/10010305695

Market liquidity risk: an overview

Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10010305705

Measuring market liquidity risk - which model works best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10010305708

DAXplus family: Ein Aktienindex zur Darstellung der Performance von Familienunternehmen

Achleitner, Ann-Kristin; Kaserer, Christoph; Kauf, Tobias; … - 2010

In January 2010 the Deutsche Börse Group introduced two family firm stock indices. Both indices are calculated as price and performance indices and extend the number of investment strategy indices of Deutsche Börse Group. The DAXplus Family is an all-share index whereas the DAXplus Family 30...

Persistent link: https://www.econbiz.de/10010305712