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Mutual Fund Competition in the Presence ofDynamic Flows

Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - Finrisk - 2008

This paper analyzes competition between mutual funds in a multiple fundsversion of the model of Hugonnier and Kaniel [18]. We characterize the setof equilibria for this delegated portfolio management game and show thatthere exists a unique Pareto optimal equilibrium. The main result of thispaper...

Persistent link: https://www.econbiz.de/10005868918

Globally Evolutionarily Stable Portfolio Rules

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The paper examines a dynamic model of a financial market with endogenous asset prices determined by short run equilibrium of supply and demand. Assets pay dividends that are partially consumed and partially reinvested. The traders use fixed-mix investment strategies (portfolio rules),...

Persistent link: https://www.econbiz.de/10005858779

Arbitrage and Optimal Portfolio Choice with Financial Constraints

Elsinger, Helmut; Summer, Martin - 2001

, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …

Persistent link: https://www.econbiz.de/10013369966

Higher Order Asymptotic Optimal Policies for Partial Equilibrium Economies

Ferretti, Roberto G.; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

We apply perturbation theory to solve the optimal control problem of an investor with time-additive power utility over intermediate consumption and ﬁnal wealth. Under general conditions we show existence of a power series representation for the prevailing optimal consumption and investment...

Persistent link: https://www.econbiz.de/10005858306

Intertemporal Mean-Variance Efficiency with a Markovian State Price Density

Zhao, Yonggan; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper extends Mertons continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...

Persistent link: https://www.econbiz.de/10005858416

Equilibrium Impact of Value-At-Risk

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...

Persistent link: https://www.econbiz.de/10005858903

Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making

Troiani, Fabio; Vanini, Paolo; Ferretti, Robetro G. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006

We apply perturbation methods to solve in closed form a class of robust control problems, implied by Anderson, Hansen and Sargent setting of a preference for robustness. In the constant investment opportunity set case, we obtain closed form power series solutions for the arising robust Bellman...

Persistent link: https://www.econbiz.de/10005858905

A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

Vanini, Paolo; Leippold, Markus; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We present a geometric approach to discrete time multiperiod mean variance portfolio opti-mization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decom-posed in an orthogonal...

Persistent link: https://www.econbiz.de/10005858942

Hedge Funds Allocation with Survival Uncertainty and Investment Constraints

Barès, Pierre-Antoine; Gibson, Rajna; Gyger, Sébastien - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

We use an expected utility framework to integrate the hedge funds survival uncertainty into an asset allocation optimizartion model. The addition of investment constraints complicates the resolution of the optimal allocation problem. It is solved using a genetic algorithm that mimics the...

Persistent link: https://www.econbiz.de/10005859356

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for 'stochastic spanning' for two nested polyhedral portfolio...

Persistent link: https://www.econbiz.de/10011440120