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Asset prices and wealth inequality in a simple model with idiosyncratic shocks
Salas, Sergio - In: Estudios de economía 44 (2017) 1, pp. 105-119
This paper analytically solves a heterogeneous agent model with idiosyncratic shocks to marginal utility of consumption and explores the effects of the borrowing constraint on the price of the asset, the composition of borrowers and lenders in the credit market, and wealth inequality. Results...
Persistent link: https://www.econbiz.de/10011980140
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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
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A Macro-Finance Model on Bankers' Asset and Liability Management with Liquidity Concerns
Fan, Yiran - 2020
This paper develops a dynamic general equilibrium model on the interaction of bankers' asset and liability management with liquidity constraint. Bankers screen real production projects and issue deposits. The liquidity constraint stems from early withdrawals of deposits. To fill the liquidity...
Persistent link: https://www.econbiz.de/10012838660
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Self-fulfilling liquidity dry-ups
Malherbe, Frédéric - 2010
Persistent link: https://www.econbiz.de/10003939416
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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
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Cyclical transactions and wealth inequality
Sakong, Jung - 2022
Wealth is distributed more unevenly than income, and one contributing factor might be that richer households earn higher portfolio returns. I uncover one channel that causes portfolio returns to be increasing in wealth: Poorer households consistently buy risky assets in booms-when expected...
Persistent link: https://www.econbiz.de/10012819358
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Large Scale Continuous-Time Mean-Variance Portfolio Allocation via Reinforcement Learning
Wang, Haoran - 2019
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time exploratory control framework, we formulate the exploratory MV problem in high dimensions. We further show the...
Persistent link: https://www.econbiz.de/10012865771
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Solving OLG models with many cohorts, asset choice and large shocks
Reiter, Michael - 2015
The paper presents a computationally efficient method to solve overlapping gener- ations models with asset choice. The method is used to study an OLG economy with many cohorts, up to 3 different assets, stochastic volatility, short-sale constraints, and subject to rather large technology shocks....
Persistent link: https://www.econbiz.de/10011416011
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Shock amplification in an interconnected financial system of banks and investment funds
Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - 2021
This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify … model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock … caused by the Covid-19 outbreak, we model three sources of exogenous shocks: a default shock, a market shock and a redemption …
Persistent link: https://www.econbiz.de/10012603035
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Distribution of wealth and incomplete markets : theory and empirical evidence
Fiaschi, Davide; Marsili, Matteo - In: Journal of economic behavior & organization : JEBO 81 (2012) 1, pp. 243-267
Persistent link: https://www.econbiz.de/10009505566