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Rational information choice in financial market equilibrium
Muendler, Marc-Andreas - 2005
Adding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well … is removed. Signals mutually benefit homogeneous investors because revealing asset price permits updating so that a …
Persistent link: https://www.econbiz.de/10010261163
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Super-replication of the best pairs trade in hindsight
Garivaltis, Alex - In: Cogent economics & finance 7 (2019) 1, pp. 1-14
This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...
Persistent link: https://www.econbiz.de/10012023352
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Learning under ambiguity : a note on the belief dynamics of Epstein and Schneider (2007)
Heyen, Daniel - 2014
Epstein and Schneider (2007) develop a framework of learning under ambiguity, generalizing maxmin preferences of Gilboa …-post rejection of theories gives rise to choices that are in sharp contradiction with ambiguity aversion. Concrete, the intertemporal …
Persistent link: https://www.econbiz.de/10010424809
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Searching for information
Han, Jungsuk; Sangiorgi, Francesco - 2015
This paper provides a microfounded information acquisition technology based on a simple framework with information search. When searchable information is limited, an agent encounters increasingly more redundant information in his search for new information. Redundancy slows down the learning...
Persistent link: https://www.econbiz.de/10010529422
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To Realize, or Not to Realize? Capital Gains Tax and Portfolio Choice
White, James; Haghani, Victor - 2020
The central question addressed in this note is whether it is better to sell (and re-purchase) appreciated assets now and pay today's long-term capital gains tax rate, or wait to realize gains in the future and pay a likely higher capital gains tax rate. The authors argue that a framework based...
Persistent link: https://www.econbiz.de/10014352082
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A note on universal bilinear portfolios
Garivaltis, Alex - In: International Journal of Financial Studies : open … 9 (2021) 1/11, pp. 1-17
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios". I generalize Cover's benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering the best bilinear trading...
Persistent link: https://www.econbiz.de/10012483148
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Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio
White, James - 2020
There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...
Persistent link: https://www.econbiz.de/10012838940
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Should I Stay or Should I Go? Trading Behavior Under Ambiguity
Ben-Rephael, Azi - 2020
ambiguity-Knightian uncertainty. The effect of ambiguity is distinct from and contrasts with the well-documented effect of risk …, and shares a similar economic significance. An increase in ambiguity is associated with a subsequent reduction in stock … peers' ambiguity, suggesting information spillovers. Interestingly, an increase in ambiguity is associated with a subsequent …
Persistent link: https://www.econbiz.de/10012831017
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If George Costanza Were a Hedge Fund Manager
White, James - 2019
Continuously rebalanced long-short trades are similar to highly levered trades in that their PNL profile depends not only on the final distribution of return, but also on the realized co-variance structure of the asset pair. It's easily possible for both orientations of a rebalanced long-short...
Persistent link: https://www.econbiz.de/10012894939
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Choosing what to pay attention to
Fulton, Chad - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 153-184
This paper studies static rational inattention problems with multiple actions and multiple shocks. We solve for the optimal signals chosen by agents and provide tools to interpret information processing. By relaxing restrictive assumptions previously used to gain tractability, we allow agents...
Persistent link: https://www.econbiz.de/10012806924