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Rieger, Marc Oliver (contributor) - 2007

We study how the framework of classical game theory changes when the preferences of the players are described by Prospect Theory instead of Expected Utility Theory. Specifically, we study the influence of framing effect and probability weighting on the existence and specific structure of Nash...

Persistent link: https://www.econbiz.de/10003550861

An anatomy of the equity premium

Schneider, Paul - 2016

This paper introduces a model-free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return,...

Persistent link: https://www.econbiz.de/10011507822

Divergence and the price of uncertainty

Schneider, Paul; Trojani, Fabio - 2015 - This Version: November 23, 2015

Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage-free option markets, implied divergence...

Persistent link: https://www.econbiz.de/10011507861

Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets

Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le - 2017

We consider a stochastic model of a financial market with one-period assets and endogenous asset prices. The model was initially developed and analyzed in the context of Evolutionary Finance with the main focus on questions of "survival and extinction" of investment strategies (portfolio rules)....

Persistent link: https://www.econbiz.de/10011761279

The performance of the eurosystem's fixed rate tenders since 2004 : theory and evidence

Ewerhart, Christian; Cassola, Nuno; Valla, Natacha - 2010

The fixed rate tender is one of the main operational formats used by central banks in the implementation of their monetary policies. While academic research has largely dismissed the procedure for its tendency to encourage overbidding, central banks such as the ECB and the Bank of England have...

Persistent link: https://www.econbiz.de/10008797780

An evolutionary finance model with a risk-free asset

Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten - 2017

Evolutionary Finance focuses on questions of "survival and extinction" of investment strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of financial markets in which asset prices are determined endogenously by a short-run equilibrium between supply and...

Persistent link: https://www.econbiz.de/10011865449

Liquidity and investment horizon

Vovchak, Volodymyr - 2014

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

Persistent link: https://www.econbiz.de/10010258742

Institutional corporate bond demand

Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, … - 2020

-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon … and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained … higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in …

Persistent link: https://www.econbiz.de/10012421461

A theory of scenario generation

Schneider, Paul - 2019

We show how distributions can be reduced to low-dimensional scenario trees. Applied to intertemporal distributions, the scenarios and their probabilities become time-varying factors. From S&P 500 options, two or three time-varying scenarios suffice to forecast returns, implied variance or...

Persistent link: https://www.econbiz.de/10012003165

The price of money : now collateral policy affects the yield curve

Nyborg, Kjell G.; Woschitz, Jiri - 2021

Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting differential treatment of same-country government...

Persistent link: https://www.econbiz.de/10012799625

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