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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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Portfolio selection with narrow framing : probability weighting matters
De Giorgi, Enrico; Legg, Shane - 2009 - This version: June 9, 2009
This paper shows that the framework proposed by Barberis and Huang (2009) to incorporate narrow framing and loss aversion into dynamic models of portfolio choice and asset pricing can be extended to also account for probability weighting and for a value function that is convex on losses and...
Persistent link: https://www.econbiz.de/10003970464
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Prices and portfolio choices in financial markets : theory, econometrics, experiments
Bossaerts, Peter L. (contributor);  … - 2007
account of the general equilibrium effects of sample-size bias. The paper works through the approach in detail for the case of … the classical CAPM, producing a model called CAPM+. When these econometric tests are applied to data generated by large …-scale laboratory asset markets which reveal both prices and portfolio choices, CAPM+ is not rejected …
Persistent link: https://www.econbiz.de/10003549745
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Benchmarks in aggregate household portfolios
St.-Amour, Pascal (contributor) - 2007
Reference-dependent preference models assume that agents derive utility from deviations of consumption from benchmark levels, rather than from consumption levels. These references can be either backward-looking (as explicit in the Habit literature) or forward-looking (as implicitly suggested by...
Persistent link: https://www.econbiz.de/10003549899
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Bond ladders and optimal portfolios
Judd, Kenneth L.; Kubler, Felix; Schmedders, Karl - 2009
within the framework of a dynamic general equilibrium asset-pricing model. Equilibrium bond portfolios are nonsensical …
Persistent link: https://www.econbiz.de/10003966082
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974
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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 … fee contracts. In equilibrium, their investment decisions, fee schedules, and stock prices feed back into one another. The …
Persistent link: https://www.econbiz.de/10011293478
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Asymmetric beta comovement and systematic downside risk
Jondeau, Eric; Zhang, Qunzi - 2014
In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...
Persistent link: https://www.econbiz.de/10010442899