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The Best of Strategies for the Worst of Times : Can Portfolios be Crisis Proofed?

Harvey, Campbell R. - 2019

In the late stages of long bull markets, a popular question arises: What steps can an investor take to mitigate the impact of the inevitable large equity correction? However, hedging equity portfolios is notoriously difficult and expensive. We analyze the performance of different tools that...

Persistent link: https://www.econbiz.de/10012871175

Equilibrium driven by discounted dividend volatility

Cvitanić, Jakša; Malamud, Semyon - 2009

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary …, intrinsic characteristic of the aggregate dividend process that we call the "rate of discounting volatility" and show that, in … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …

Persistent link: https://www.econbiz.de/10003971106

Financial markets equilibrium with heterogeneous agents

Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009

shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility …

Persistent link: https://www.econbiz.de/10003971310

Price impact and portfolio impact

Cvitanić, Jakša; Malamud, Semyon - 2010

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...

Persistent link: https://www.econbiz.de/10003979998

Self-fulfilling liquidity dry-ups

Malherbe, Frédéric - 2010

Secondary markets for long-term assets might be illiquid due to adverse selection. In a model in which moral hazard is confined to project initiation, I find that: (1) when agents expect a liquidity dry-up on such markets, they optimally choose to self-insure through the hoarding of...

Persistent link: https://www.econbiz.de/10011597031

Self-fulfilling liquidity dry-ups

Malherbe, Frédéric - 2010

Persistent link: https://www.econbiz.de/10003939416

Rational asset pricing bubbles and portfolio constraints

Hugonnier, Julien - 2010

This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can bene t from the corresponding limited arbitrage opportunities. Furthermore, it is shown that when they are...

Persistent link: https://www.econbiz.de/10003966068

Long-run heterogeneity in an exchange economy with fixed-mix traders

Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015

We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...

Persistent link: https://www.econbiz.de/10011386757

Dynamic Equilibrium with Heterogeneous Agents and Risk Constraints

Prieto, Rodolfo - 2011

We examine the impact of risk-based portfolio constraints on asset prices in an exchange economy. Constrained agents scale down their portfolio and behave locally like power utility investors with risk aversion that depends on current market conditions. The imposition of constraints dampens...

Persistent link: https://www.econbiz.de/10013132941

Market Selection and the Absence of Arbitrage

Elmiger, Sabine - 2021

A central conjecture of behavioural finance is that arbitrage opportunities appear as a result of systematic irrational investment behaviour and persist since real-world arbitrage trades actually involve costs and risks due to market frictions and non-fundamental risk. This paper shows that the...

Persistent link: https://www.econbiz.de/10013242357

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