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Equilibrium driven by discounted dividend volatility
Cvitanić, Jakša; Malamud, Semyon - 2009
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …
Persistent link: https://www.econbiz.de/10003971106
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Financial markets equilibrium with heterogeneous agents
Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption …
Persistent link: https://www.econbiz.de/10003971310
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Nonmyopic optimal portfolios in viable markets
Cvitanić, Jakša; Malamud, Semyon - 2010
We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general di usion process and the market consists of one risky asset and a risk-free asset. The key term of our representation is a new...
Persistent link: https://www.econbiz.de/10008797739
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Optimal Dynamic Asset Allocation with Transaction Costs : The Role of Hedging Demands
Collin-Dufresne, Pierre; Daniel, Kent D.; Saglam, Mehmet - 2022
A number of papers have solved for the optimal dynamic portfolio strategy when expected returns are time-varying and trading is costly, but only for agents with myopic utility. Non-myopic agents benefit from hedging against shocks to the investment opportunity set even when transaction costs are...
Persistent link: https://www.econbiz.de/10014235871
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Market efficiency and limits to arbitrage : evidence from the Volkswagen short squeeze
Allen, Franklin; Haas, Marlene; Nowak, Eric; Tengulov, Angel - 2018
On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the...
Persistent link: https://www.econbiz.de/10011875647
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Making no-arbitrage discounting-invariant : a new FTAP beyond NFLVR and NUPBR
Bálint, Dániel Ágoston; Schweizer, Martin - 2018 - This version: March 16, 2018
In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious … introduce a new way of defining “absence of arbitrage”. It rests on the new notion of a strategy being strongly share maximal … absence-of-arbitrage concepts do not change when we look at discounted or undiscounted prices, and they can be used in open …
Persistent link: https://www.econbiz.de/10011899592
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Capital growth under transaction costs : an analysis based on the von Neumann-Gale model
Bahsoun, Wael; Evstigneev, Igor V.; Taksar, Michael I. - 2008
In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a...
Persistent link: https://www.econbiz.de/10003961438
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Slow-moving capital and execution costs : evidence from a major trading glitch
Bogousslavsky, Vincent; Collin-Dufresne, Pierre; … - 2017
We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage). Stocks in which the firm accumulates...
Persistent link: https://www.econbiz.de/10011900033
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Transaction costs and shadow prices in discrete time
Czichowsky, Christoph; Muhle-Karbe, Johannes; … - 2013
, i.e., for a log-investor trading in an arbitrage-free market with bounded prices and arbitrarily small transaction costs …
Persistent link: https://www.econbiz.de/10010257516
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Endogenous completeness of diffusion driven equilibrium markets
Hugonnier, Julien; Malamud, Semyon; Trubowitz, Eugene - 2009
We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents economy driven by a multidimensional diffusion process. Our main results show that if prices are real analytic as functions of time and the state variables of the model then a...
Persistent link: https://www.econbiz.de/10003971255