Narrow search
Showing 1 - 10 of 281
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Delegated portfolio management, optimal fee contracts, and asset prices
Sato, Yuki - 2015
This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment...
Persistent link: https://www.econbiz.de/10011293478
Cover Image
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
Cover Image
Optimal fund menus
Cvitanić, Jakša; Hugonnier, Julien - 2018
We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the preferences of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be explicitly constructed from the solution to a calculus of...
Persistent link: https://www.econbiz.de/10011900225
Cover Image
Revealed Beliefs about Responsible Investing : Evidence from Mutual Fund Managers
Orlov, Vitaly; Ramelli, Stefano; Wagner, Alexander F. - 2023
What do asset managers believe regarding the financial performance of Environmental, Social, and Governance (ESG) investment strategies? We address this question by exploring the relationship between fund managers’ co-ownership and portfolio ESG performance. Managers with more “skin in the...
Persistent link: https://www.econbiz.de/10014258375
Cover Image
Arbitrage in stationary markets
Evstigneev, Igor V. (contributor); Kapoor, Dhruv (contributor) - 2007
We analyse questions of arbitrage in fnancial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that...
Persistent link: https://www.econbiz.de/10003550863