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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
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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
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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
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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
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Risk Exchange as a Market or Production Game
Borglin, Anders; Flåm, Sjur - 2007
Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the...
Persistent link: https://www.econbiz.de/10013208519
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Portfolio choice based on third-degree stochastic dominance, with an application to industry momentum
Post, Thierry; Kopa, Miloš - 2015
We develop and implement a portfolio optimization method for building investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semi-variance function, a refinement of an existing 'super-convex'...
Persistent link: https://www.econbiz.de/10011696295
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Optimal Stopping Time, Consumption, Labour, and Portfolio Decision for a Pension Scheme
Menoncin, Francesco; Vergalli, Sergio - 2019
In this work we solve in a closed form the problem of an agent who wants to optimise the inter-temporal utility of both his consumption and leisure by choosing: (i) the optimal inter-temporal consumption, (ii) the optimal inter-temporal labour supply, (iii) the optimal share of wealth to invest...
Persistent link: https://www.econbiz.de/10012146427
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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
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Intertemporal Mean-Variance Efficiency with a Markovian State Price Density
Zhao, Yonggan; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper extends Merton’s 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
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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