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Strategische Asset-Allokation aus Sicht des privaten Kapitalanlegers
Walther, Ursula - 2002
Die strategische Asset Allokation ist die für den langfristigen Anlageerfolg wichtigste Entscheidung eines Kapitalanlegers. Eine fundierte Entscheidung erfordert einen mehrstufigen, strukturierten Prozess. Der Anleger muss sich mit den realistischen Chancen des Kapitalmarktes und mit seinen...
Persistent link: https://www.econbiz.de/10010305678
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On the Stability of Different Financial Systems
Fecht, Falko - 2003
An economy in which deposit-taking banks of a Diamond/ Dybvig style and an asset market coexist is modelled. Firstly, within this framework we characterize distinct financial systems depending on the fraction of households with direct investment opportunities that are less efficient than those...
Persistent link: https://www.econbiz.de/10010316242
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On the Stability of Different Financial Systems
Fecht, Falko - 2003
Im vorliegenden Papier wird eine Ökonomie modelliert, in der Diamond/ Dybvig- Banken neben einem Finanzmarkt … Anlagemöglichkeiten am Finanzmarkt haben. Ist der Anteil dieser Haushalte vergleichsweise gering, so entsteht ein Finanzsystem, das sich … nicht am sekundären Finanzmarkt partizipieren, handeln private Haushalte sowohl am Primär- als auch am Sekundärmarkt …
Persistent link: https://www.econbiz.de/10010295758
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Fundamental and non-fundamental equilibria in the foreign exchange market : a behavioural finance framework
De Grauwe, Paul; Dieci, Roberto; Grimaldi, Marianna - 2005
We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a...
Persistent link: https://www.econbiz.de/10010261158
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Towards a single European market in asset management
Heinemann, Friedrich; Schröder, Michael; Schüler, Martin - 2003
Persistent link: https://www.econbiz.de/10011288127
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Portfolio choice and the effects of liquidity
González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74
This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...
Persistent link: https://www.econbiz.de/10010317124
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Do investors optimize, follow heuristics, or listen to experts?
Gehrig, Thomas P.; Güth, Werner; Levínský, René; … - 2008
In the experimental scenario several agents repeatedly invest in n (n2) state-specific assets. The evolutionarily stable and equilibrium (Blume and Easley, 1992) portfolio for this situation requires to distribute funds according to the constant probabilities of the various states. The different...
Persistent link: https://www.econbiz.de/10010274010
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Discrete and continuous time dynamic mean-variance analysis
Reiss, Ariane - 1999
Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is...
Persistent link: https://www.econbiz.de/10010305021
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Equilibrium asset prices and the wealth distribution with inattentive consumers
Finocchaiaro, Daria - 2010
This paper studies the effects of heterogeneity in planning propensity on wealth inequality and asset prices. I consider an economy populated by attentive and inattentive agents. Attentive agents plan their consumption period by period, while inattentive agents plan every other period....
Persistent link: https://www.econbiz.de/10010320790
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Investment, income, and incompleteness
Bick, Björn; Kraft, Holger; Munk, Claus - 2009
The utility-maximizing consumption and investment strategy of an individual investor receiving an unspanned labor income stream seems impossible to find in closed form and very difficult to find using numerical solution techniques. We suggest an easy procedure for finding a specific, simple, and...
Persistent link: https://www.econbiz.de/10010271456