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Games and Prospects
Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We study how the framework of classical game theory changes when the preferences of the players are described by Prospect Theory instead of Expected Utility Theory. Specifically, we study the influence of framing effect and probability weighting on the existence and specific structure of Nash...
Persistent link: https://www.econbiz.de/10005858351
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Testing the TASP: An experimental investigation of learning in games with unstable equilibria
Cason, Timothy N.; Friedman, Daniel; Hopkins, Ed - 2009
We report experiments designed to test between Nash equilibria that are stable and unstable under learning. The 'TASP' (Time Average of the Shapley Polygon) gives a precise prediction about what happens when there is divergence from equilibrium under fictitious play like learning processes. We...
Persistent link: https://www.econbiz.de/10010288137
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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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Arbitrage and Optimal Portfolio Choice with Financial Constraints
Elsinger, Helmut; Summer, Martin - 2001
We analyze the pricing of risky income streams in a world with competitive security markets where investors are constrained by restrictions on possible portfolio holdings. We investigate how we can transfer concepts and pricing techniques from a world without frictions to such a more realistic...
Persistent link: https://www.econbiz.de/10013369966
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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
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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
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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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Centralized trading of corporate bonds
Huber, Samuel; Kim, Jaehong - 2015
bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate … only if it is feasible for him to also affect market liquidity, by either increasing or decreasing it. …
Persistent link: https://www.econbiz.de/10011420570
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Does Commonality in Illiquidity Matter to Investors?
Anderson, Richard G.; Binner, Jane M.; Hagströmer, Björn - 2013
This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less understood. We find a return premium for commonality...
Persistent link: https://www.econbiz.de/10013208653
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Asset Liquidity in Monetary Theory and Finance: A Unified Approach
Geromichalos, Athanasios; Jung, Kuk Mo; Lee, Seungduck; … - 2019
assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory …), or that they can be easily sold in a secondary market, if needed (a definition of liquidity closer to the one adopted in … finance)? We develop a model where these two notions of asset liquidity coexist, and their relative importance is determined …
Persistent link: https://www.econbiz.de/10012655877