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Mutual Fund Competition in the Presence ofDynamic Flows

Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - Finrisk - 2008

This paper analyzes competition between mutual funds in a multiple fundsversion of the model of Hugonnier and Kaniel [18]. We characterize the setof equilibria for this delegated portfolio management game and show thatthere exists a unique Pareto optimal equilibrium. The main result of thispaper...

Persistent link: https://www.econbiz.de/10005868918

Mutual fund competition in the presence of dynamic flows

Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008

This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...

Persistent link: https://www.econbiz.de/10003962143

Health and (other) Asset Holdings

Hugonnier, Julien; Pelgrin, Florian; St-Amour, Pascal - National Centre of Competence in ResearchFinancial … - 2009

The empirical literature on the asset allocation and medical expenditures ofU.S. households consistently shows that risky portfolio shares are increasing inboth wealth and health whereas health investment shares are decreasing in thesesame variables. Despite this evidence, most of the existing...

Persistent link: https://www.econbiz.de/10005868769

Bubbles and multiplicity of equilibria under portfolioconstraints

Hugonnier, Julien - Finrisk - 2008

benefit from the induced arbitrage opportunity. Furthermore, it isshown that the presence of bubbles in the aggregate price …

Persistent link: https://www.econbiz.de/10005868914

Health and (other) asset holdings

Hugonnier, Julien; Pelgrin, Florian; St.-Amour, Pascal - 2009

Despite clear evidence of correlations between financial and medical statuses and decisions, most models treat financial and health-related choices separately. This paper bridges this gap by proposing a tractable dynamic framework for the joint determination of optimal consumption, portfolio...

Persistent link: https://www.econbiz.de/10003970446

A structural analysis of the health expenditures and portfolio choices of retired agents

Hugonnier, Julien; Pelgrin, Florian; St.-Amour, Pascal - 2010

Richer and healthier agents tend to hold riskier portfolios and spend proportionally less on health expenditures. Potential explanations include health and wealth e ffects on preferences, expected longevity or disposable total wealth. Using HRS data, we perform a structural estimation of a...

Persistent link: https://www.econbiz.de/10008797085

Rational asset pricing bubbles and portfolio constraints

Hugonnier, Julien - 2010

equilibrium even if there are unconstrained agents in the economy who can bene t from the corresponding limited arbitrage …

Persistent link: https://www.econbiz.de/10003966068

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

Asset pricing with arbitrage activity

Hugonnier, Julien; Prieto, Rodolfo - 2013

arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

Persistent link: https://www.econbiz.de/10010257492

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