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This paper analyzes whether the market portfolio is efficiently related to benchmark portfolios formed on size, value, momentum and reversal with various utility theories by using stochastic dominance criteria. The results support the prospect theory including assumption of loss aversion at...
Persistent link: https://www.econbiz.de/10013107334
We model how investors allocate between asset managers, managers choose their portfolios of multiple securities, fees are set, and security prices are determined. The optimal passive portfolio is linked to the “expected market portfolio,” while the optimal active portfolio has elements of...
Persistent link: https://www.econbiz.de/10012851298
As their populations grow older, the industrial countries face steep increases in public pension costs. If countries change their pension systems in advance of sharply higher pension costs, it is possible to prepare for the added retirement costs by funding a portion of the future liabilities...
Persistent link: https://www.econbiz.de/10014113178
Credit Value Adjustment (CVA) has been one of the "hot topics" in the financial industry since 2009. There have been several papers on the subject and the topic has been widely discussed in all banking conferences around the world. However, often, the fundamentals of this topic have been...
Persistent link: https://www.econbiz.de/10013035876
We study negative interest rate policy (NIRP) exploiting ECB's NIRP introduction and administrativedata from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply---and hence the real economy---through a portfolio rebalancing channel. NIRP affects banks...
Persistent link: https://www.econbiz.de/10012889149
We consider competition among n sellers when each of them sells a portfolio of distinct products to a buyer having limited slots (or shelf space). We study how bundling affects competition for slots. When the buyer has k number of slots, efficiency requires the slots to be allocated to the best...
Persistent link: https://www.econbiz.de/10013158396
Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms' pricing strategies. This paper studies such consumers' portfolio considerations by developing a...
Persistent link: https://www.econbiz.de/10009382059
Effective risk management is an important aspect of farming. Risk management involves choosing among alternatives that reduce the financial effects of the uncertainties of weather, yields, prices, government policies, and other factors that can cause wide swings in farm income. To deal with...
Persistent link: https://www.econbiz.de/10010489742
Although the relationship between oil prices and exchange rates has been investigated extensively in the literature, the results remain mixed. The aim of this article is to revisit this relationship allowing for nonlinear dynamics in the speed of adjustment to the equilibrium. This article...
Persistent link: https://www.econbiz.de/10013127352
Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...
Persistent link: https://www.econbiz.de/10012836549