Showing 1 - 10 of 32
This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers, arising as they compete for fund flows. We study such interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium investments....
Persistent link: https://www.econbiz.de/10012712477
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we provide a simple solution to this problem in a general incomplete-market economy in which a hedger, guided by the traditional minimum-variance...
Persistent link: https://www.econbiz.de/10012714023
Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple...
Persistent link: https://www.econbiz.de/10012721416
This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction is modelled as managers' having relative performance concerns in their objectives, either due to money flows or behavioral considerations. We provide tractable...
Persistent link: https://www.econbiz.de/10012725258
This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction is modelled as managers' having relative performance concerns in their objectives, either due to money flows or behavioral considerations. We provide tractable...
Persistent link: https://www.econbiz.de/10012726321
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We propose and justify approaches based on simulation and the block bootstrap to achieve valid inference in a time series...
Persistent link: https://www.econbiz.de/10012736096
Portfolio theory must address the fact that, in reality, portfolio managers are evaluated relative to a benchmark, and therefore adopt risk management practices to account for the benchmark performance. We capture this risk management consideration by allowing a prespecified shortfall from a...
Persistent link: https://www.econbiz.de/10012737638
In a financial market with one riskless asset and n risky assets following geometric Brownian motions, we solve the problem of a pension fund maximizing the expected CRRA utility of its terminal wealth. By considering a stochastic death time for a subscriber, we solve a unique problem for both...
Persistent link: https://www.econbiz.de/10012740045
This paper undertakes a comparative study of portfolio insurance under a variety of modelling strategies. Specifically, we focus on portfolio insurers who drive utility from horizon wealth, with marginal utility tending smoothly to infinity at some pre-specified floor. We solve for the optimal...
Persistent link: https://www.econbiz.de/10012741705
This paper investigates a fund manager's risk-taking incentives induced by an increasing and convex fund-flows to relative-performance relationship. In a dynamic portfolio choice framework, we show that the ensuing convexities in the manager's objective give rise to a finite risk-shifting range...
Persistent link: https://www.econbiz.de/10012734606