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Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
optimizer should be the entire industry. The second economic constraint concerns the modeling of the drift of the price of the …
Persistent link: https://www.econbiz.de/10003807893
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Risk Management of Alpha Models
Elavia, Tony - 2010
After posting good performance and impressive business growth for over two decades, quantitative equity investment managers have recently produced weak returns. We develop a measure of risk and show how changes in risk provide a common framework to explain past under-performance, as well as...
Persistent link: https://www.econbiz.de/10013139850
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Efficiently Inefficient Markets for Assets and Asset Management
Garleanu, Nicolae - 2017
We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...
Persistent link: https://www.econbiz.de/10012971275
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Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading
Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23
and practically) to have the same Macaulay duration and price, but a different convexity at certain YTM point. Therefore …
Persistent link: https://www.econbiz.de/10012695328
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Ambiguity, Risk, and Sentiment
Luo, Di - 2023
The impact of sentiment on asset prices varies during periods of low and high ambiguity and risk and across countries. Examining stock market returns across twenty-nine countries, we show that the predictability of sentiment is more pronounced when ambiguity is low in Australia, Canada, Czech...
Persistent link: https://www.econbiz.de/10014265401
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More Informative Disclosures, Less Informative Prices? Portfolio and Price Formation Around Quarter-Ends
Gormley, Todd A. - 2020
-time position adjustments suggests this quarterly pattern might reduce price informativeness. Consistent with this possibility, we … find that quarter-ends are associated with greater subsequent return reversals and lower price efficiency. Additional tests … support a link between disclosure-driven trades and lower price efficiency …
Persistent link: https://www.econbiz.de/10012853490
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Informed Momentum Trading versus Uninformed 'Naive' Investors Strategies
Banerjee, Anurag Narayan - 2011
We construct a zero-net-worth uninformed "naive investor" who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profits relative to the return percentiles of the...
Persistent link: https://www.econbiz.de/10013134012
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Investment Horizons and Asset Prices Under Asymmetric Information
Albagli, Elias - 2014
I study a generalized OLG economy where asymmetrically informed agents have arbitrary investment horizons. As horizons increase, the age-adjusted risk aversion of investors fall, and the risk transfer from forced liquidators into voluntary buyers drops. Two equilibria coexist for long enough...
Persistent link: https://www.econbiz.de/10013064961
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A Portfolio Optimization Approach to Identifying Private Information
Bongaerts, Dion - 2018
liquidity and private information shocks and optimize their trading across stocks taking into account price impact (Kyle …
Persistent link: https://www.econbiz.de/10012937639
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Optimal Research in Financial Markets with Heterogeneous Private Information : A Rational Expectations Model
Tinn, Katrin - 2021
This paper investigates prices and endogenous research decision for financial assets. In rational expectations models with public information, higher order beliefs make investors to overweight the public information relative to underlying fundamentals. The extent of this mispricing is higher if...
Persistent link: https://www.econbiz.de/10013318514