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Convex duality in mean variance hedging under convex trading constraints
Czichowsky, Christoph; Schweizer, Martin - 2012 - This version: June 4, 2012
We study mean-variance hedging under portfolio constraints in a general semimartingale model. The constraints are formulated via predictable correspondences, meaning that the trading strategy is restricted to lie in a closed convex set which may depend on the state and time in a predictable way....
Persistent link: https://www.econbiz.de/10009558290
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Conditioning the information in portfolio optimization
Sala, Carlo; Barone-Adesi, Giovanni - 2015
This paper proposes a theoretical analysis on the impacts of using a suboptimal information set on the three main components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is carried out by means of a portfolio optimization...
Persistent link: https://www.econbiz.de/10011506342
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Evolutionary finance for multi-asset investors
Schnetzer, Michael; Hens, Thorsten - 2022
Standard strategic asset allocation procedures usually neglect market interaction. However, returns are not generated in a vacuum but are the result of the market's price discovery mechanism which is driven by investors' investment strategies. Evolutionary finance accounts for this and...
Persistent link: https://www.econbiz.de/10012800946
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Bond ladders and optimal portfolios
Judd, Kenneth L.; Kubler, Felix; Schmedders, Karl - 2009
Many bond portfolio managers argue that bond laddering tends to outperform other bond investment strategies because it … reduces both market price risk and reinvestment risk for a bond portfolio in the presence of interest rate uncertainty …. Despite the popularity of bond ladders as a strategy for managing investments in fixed-income securities, there is surprising …
Persistent link: https://www.econbiz.de/10003966082
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ESG screening in the fixed-income universe
Alessandriniy, Fabio; Baptista Balula, David; Jondeau, Eric - 2021
This paper evaluates the impact of a screening process based on Environment, Social, and Governance (ESG) scores for an otherwise passive portfolio of investment-grade corporate bonds. The main result is that this filtering leads to a substantial improvement of the targeted ESG score without...
Persistent link: https://www.econbiz.de/10012800004
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False discoveries in mutual fund performance : measuring luck in estimated alphas
Barras, Laurent; Scaillet, Olivier; Wermers, Russ - 2009 - This version: April 2009
This paper develops a simple technique that controls for ldquo;false discoveries,rdquo; or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated...
Persistent link: https://www.econbiz.de/10003961716
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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
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Predation versus cooperation in mutual fund families
Eisele, Alexander; Nefedova, Tamara; Parise, Gianpaolo - 2013
This paper explores the incentives for mutual funds to trade with sibling funds affiliated with the same group. To this end, we construct a dataset of almost one million equity transactions and compare the pricing of trades crossed internally (cross-trades) with that of twin trades executed with...
Persistent link: https://www.econbiz.de/10009750628
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Long/short equity hedge funds and systematic ambiguity
Gibson, Rajna; Ryabkov, Nikolay - 2014
This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...
Persistent link: https://www.econbiz.de/10010337996
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Investors' expectations, management fees and the underperformance of mutual funds
Huesler, Andreas D.; Malevergne, Yannick; Sornette, Didier - 2012
Why do investors keep buying underperforming mutual funds? To address this issue, we develop a one-period principal-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the investors perception of the fund plays the key role...
Persistent link: https://www.econbiz.de/10009561613