Showing 1 - 10 of 33
The paper rst shows that nancial market equilibria need not to exist if agents possesscumulative prospect theory preferences with piecewise-power value functions. This is due tothe boundary behavior of the cumulative prospect theory value function, which might causean innite short-selling...
Persistent link: https://www.econbiz.de/10009354077
Structured financial products have gained more and more popularity in recent years, but nevertheless has their success so far notthoroughly been analyzed. In this article we develop a theoreticalframework for the design of optimal structured products and analyzethe maximal utility gain for an...
Persistent link: https://www.econbiz.de/10005857733
The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an infiniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...
Persistent link: https://www.econbiz.de/10005857777
We study properties of structured financial products optimizing a utility functional of a customer. The conventional method may have the disadvantage that the a priori restriction to a certain number of assets could make it impossible to find the optimal portfolio. So instead of optimizing the...
Persistent link: https://www.econbiz.de/10005858026
This paper studies how the investors’ attitude towards earnings surprises affects the managers’ incentives to manipulate earnings in an intertemporal context, where the consensus forecast of the analysts is not exogenously given but determined by the strategic interaction between the analysts...
Persistent link: https://www.econbiz.de/10005858045
We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If two-fund separation is found to hold across periods for competitive behavior, it also holds for strategic behavior. In this case the relative prices of the assets do not depend on...
Persistent link: https://www.econbiz.de/10005858107
According to the traditional view held in finance returns of assets are determined by complete rationality of decision makers. Rational decisions are defined by a set of axioms that are universal and do not leave room for cultural differences. In this article we show that cultural differences do...
Persistent link: https://www.econbiz.de/10005858207
This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones Industrial Average (DJIA).We analyze numerically the long-run outcome of the competition offix-mix portfolio rules in a stock market with actual DJIA dividends.In the model seemingly...
Persistent link: https://www.econbiz.de/10005858308
There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with short-lived securities,no short-selling constraints...
Persistent link: https://www.econbiz.de/10005858363
Experimental stock markets are used to add some more evidence that Blacks (1976) leverage effect in financial markets does not necessarily stem from the financial leverage of the firm. We surprisingly find a large number of markets in which the leverage effect is observed although the underlying...
Persistent link: https://www.econbiz.de/10005858378