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In this paper we present a two period model, where the agent's preferences are described by prospect theory as proposed by Kahneman and Tversky. We solve for the agent's portfolio decision. Our findings are that the changes in portfolio weights depend crucially on the reference point and the...
Persistent link: https://www.econbiz.de/10003394349
Hundreds of equity market intelligence FinTechs have formed in the last decade. We assemble novel data to describe their capabilities, users, and consequences. Our data suggest that these FinTechs: (i) aggregate many data sources, including nontraditional ones (e.g., Twitter, blogs), and...
Persistent link: https://www.econbiz.de/10012003060
We address potential strengths and weaknesses of alternative protection schemes, which can be adopted as a ‘default option' in a private, third pillar, pension product. In light of the observed behavior of savers adopting the ‘default option' at international level, we perform a comparative...
Persistent link: https://www.econbiz.de/10012003239
Households tend to hold substantial amounts of non-financial assets in the form of inventory. Households can obtain significant financial returns from strategic shopping and optimally managing these inventories of consumer goods. In addition, they choose to maintain liquid savings – household...
Persistent link: https://www.econbiz.de/10012271205
Households tend to hold substantial amounts of non-financial assets in the form of inventory. Households can obtain significant financial returns from strategic shopping and optimally managing these inventories of consumer goods. In addition, they choose to maintain liquid savings - household...
Persistent link: https://www.econbiz.de/10012421080
Carroll and Kimball (1996) show that the consumption function for an agent with time-separable, isoelastic preferences is concave in the presence of income uncertainty. In this paper I show that concavity breaks down if we abandon time-separability. Namely, if an agent maximizing an isoelastic...
Persistent link: https://www.econbiz.de/10010412680
This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can bene t from the corresponding limited arbitrage opportunities. Furthermore, it is shown that when they are...
Persistent link: https://www.econbiz.de/10003966068
This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for...
Persistent link: https://www.econbiz.de/10003966074
This paper aims to open a new avenue for research in continuous-time financial market models with endogenous prices and heterogenous investors. The main result is the derivation of the limit of a discretetime evolutionary stock market model as the length of the time period tends to zero. The...
Persistent link: https://www.econbiz.de/10003966077
The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of a short-run equilibrium. Investors use general, adaptive strategies (portfolio rules) depending on the exogenous states of the world and the observed history of the game....
Persistent link: https://www.econbiz.de/10003966080