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Patience is a virtue - in value investing
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2018
This note illustrates a simple but important insight for financial investment. In a heterogeneous agent-based evolutionary finance market model with long-lived assets, markets are stable if clients of fundamental ('value') investment funds are more patient than clients of other funds
Persistent link: https://www.econbiz.de/10011899600
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Competition for attention in the ETF space
Ben-David, Itzhak; Franzoni, Francesco; Kim, Byungwook; … - 2021
(ETFs). While early ETFs offered diversification at low cost, later ETFs track niche portfolios and charge high fees …. Strikingly, over their first five years, specialized ETFs lose about 30% in risk-adjusted terms. This underperformance cannot be … appear to cater to investors' extrapolative beliefs by issuing specialized ETFs that track attention-grabbing themes …
Persistent link: https://www.econbiz.de/10012421474
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Sparse and stable international portfolio optimization and currency risk management
Burkhardt, Raphael; Ulrych, Urban - 2022 - This Version: January 2022
This paper introduces a sparse and stable optimization approach for a multi-currency asset allocation problem. We study the benefits of joint optimization of assets and currencies as opposed to the standard industry practice of managing currency risk via so-called currency overlay strategies. In...
Persistent link: https://www.econbiz.de/10012800968
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Dynamic currency hedging with ambiguity
Polak, Pawel; Ulrych, Urban - 2021 - This version: August 2021
Persistent link: https://www.econbiz.de/10012614590
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Global portfolio rebalancing and exchange rates
Costa Neto, Nelson Camanho da; Hau, Harald; Rey, Hélène - 2018
We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under...
Persistent link: https://www.econbiz.de/10011875988
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Evolutionary finance models with short selling and endogenous asset supply
Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten - 2017
The purpose of this work is to develop an evolutionary finance model with a risk-free asset playing the role of a numeraire. The model describes a market where one risk-free and several "short-lived" risky assets (securities) are traded in discrete time. The risky securities live one period,...
Persistent link: https://www.econbiz.de/10011762273
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On the risk and return of the carry trade
Ackermann, Fabian; Pohl, Walter; Schmedders, Karl - 2012
DeMiguel, Garlappi, and Uppal (Review of Financial Studies, 22 (2009), 1915-1953) showed that in the stock market, it is difficult for an optimized portfolio constructed using mean-variance analysis to outperform a simple equally-weighted portfolio because of estimation error. In this paper, we...
Persistent link: https://www.econbiz.de/10009684278
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Portfolio choice with loss aversion, asymmetric risk-taking behavior and segregation of riskless opportunities
Vlcek, Martin (contributor) - 2006
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
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Market selection of constant proportions investment strategies in continuous time
Palczewski, Jan; Schenk-Hoppé, Klaus Reiner - 2008
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
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Optimal investment in a Black-Scholes model with a bubble
Herdegen, Martin; Herrmann, Sebastian - 2013
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model. Based on a class of models that embeds the JLS model and can exhibit strict local martingale behavior, we clarify...
Persistent link: https://www.econbiz.de/10010257486