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Weak Convergence of Hedging Strategies of Contingent Claims
Prigent, Jean-Luc; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets … trading strategy, when perfect hedging of contingent claims is infeasible, is robust under weak convergence. Several …
Persistent link: https://www.econbiz.de/10005859330
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Dynamic utility indifference valuation via convex risk measures
Klöppel, Susanne; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We study the dynamic utility indifference value process p(X) when the usefulness of X is evaluated via a dynamic monetary concave utility functional (DMCUF) instead of von Neumann/Morgenstern expected utility. A DMCUF is minus a dynamic convex risk measure. The key tools for our investigations...
Persistent link: https://www.econbiz.de/10005858886
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Family Firms, Agency Costs and Risk Aversion - Empirical Evidence from Diversification and Hedging Decisions
Schmid, Thomas; Ampenberger, Markus; Kaserer, Christoph; … - Center for Entrepreneurial and Financial Studies <München> - 2008
diversification or the application of currency hedging instruments. This analysis is based on a unique dataset of 339 publicly listed … hedging instruments.In a second step, we go beyond existing research and distinguish between two separate dimensions of family … costs and thus leads to lower levels of business segment diversification and less currency hedging. In contrast family …
Persistent link: https://www.econbiz.de/10005870324
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Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...
Persistent link: https://www.econbiz.de/10005858246
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Wealth inequality and the optimal level of government debt
Röhrs, Sigrid; Winter, Christoph - 2011
In this paper, we quantitatively analyze to what extent a benevolent government should issue debt in a model where households are subject to idiosyncratic productivity shocks, insurance markets are missing and borrowing is restricted. In this environment, issuing government bonds facilitates...
Persistent link: https://www.econbiz.de/10010316936
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Theory of demand in incomplete markets
Turner, Sergio - 2005
We develop the theory of demand for commodities and assets facing incompletely insurable uncertainty. First, a Slutsky matrix decomposes into substitution and income effects the derivative of demand with respect to prices and yield structure. Next, we identify the Slutsky matrix’s properties....
Persistent link: https://www.econbiz.de/10010318868
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Constrained inefficiency in GEI: A geometric argument
Tirelli, Mario - 2005
In this paper we use global analysis to study the welfare properties of general equilibrium economies with incomplete markets (GEI). Our main result is to show that constrained Pareto optimal equilibria are contained in a linear submanifold of the equilibrium set. This result is explicitly...
Persistent link: https://www.econbiz.de/10010318896
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Non-existence of recursive equilibria on compact state spaces when markets are incomplete
Krebs, Tom - 2002
This paper analyzes one-good exchange economies with two infinitely-lived agents and incomplete markets. It is shown that there are no recursive (Markov) equilibria for which borrowing (debt) constraints never bind if the state space of exogenous and endogenous variables is a compact subset of...
Persistent link: https://www.econbiz.de/10010318900
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Asset returns in an endogenous growth model with incomplete markets
Krebs, Tom; Wilson, Bonnie - 2002
This paper analyzes a class of stochastic endogenous growth models with uninsurable idiosyncratic income risk. The model economy is populated by infinitely-lived households who own and operate their own business, work for a stock company, and participate in stock and bond markets. Households...
Persistent link: https://www.econbiz.de/10010318914
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Quantifying inefficiency in incomplete asset markets
Tirelli, Mario; Turner, Sergio - 2007
It is known that the incompleteness of asset markets causes inefficiency in almost every equilibrium. Yet unexplored is the ”size” of this inefficiency. The size of a Pareto improvement is the total willingness to pay for it, out of current consumption. Inefficiency is the maximum size of...
Persistent link: https://www.econbiz.de/10010318933