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Continuous-Time Evolutionary Stock and Bond Markets with Time-Dependent Strategies

Yang, Zhaojun; Shi, Feng - 2012

This paper develops a general continuous-time evolutionary finance model with time-dependent strategies. It is shown that the continuous model, which is a limit of a general discrete model, is well-defined and if there exists one completely diversified strategy in the market, then there is no...

Persistent link: https://www.econbiz.de/10014220854

Rebalancing Multiple Assets with Mutual Price Impact

Guasoni, Paolo - 2016

We find asymptotically optimal trading policies for long-term investors with constant relative risk aversion, in a multiple-assets market where expected returns and covariances are constant, and the execution price of each asset is linear in the trading intensities of all assets. Trading towards...

Persistent link: https://www.econbiz.de/10013005269

Portfolio Rebalancing and Asset Pricing with Heterogeneous Inattention

Rachedi, Omar - 2017

Can households' inattention to the stock market quantitatively account for the inertia in portfolio rebalancing? I address this question by introducing an observation cost into a production economy with heterogeneous agents. In this environment inattention changes endogenously over time and...

Persistent link: https://www.econbiz.de/10012965402

Trading Strategies for Stock Pairs Regarding to the Cross-Impact Cost

Wang, Shanshan - 2017

We extend the framework of trading strategies of Gatheral [2010] from single stocks to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be described by the trading rates of the paired stocks and the ratio of their trading periods. By minimizing the...

Persistent link: https://www.econbiz.de/10012965690

Recursive Portfolio Selection with Decision Trees

Andriyashin, Anton - 2017

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10012966264

Investor Sentiment, Profitable Trading Strategies, and Short Sale Constraints

Bulsiewicz, James - 2015

I investigate whether the relation between investor sentiment and profitable trading strategies is due to short sale constraints. I find that the average security in these strategies is not hard-to-short. Furthermore, the short leg does not appear to be harder to short or more overvalued than...

Persistent link: https://www.econbiz.de/10013026746

Portfolio Dynamics and Expected Returns Under Illiquidity

Buchner, Axel - 2015

Using a novel continuous-time framework, this paper explores the effects of illiquidity on portfolio dynamics and expected returns. In summary, the paper makes three key contributions to the existing literature on asset pricing and illiquidity. First, it illustrates that illiquidity leads to...

Persistent link: https://www.econbiz.de/10013030411

Beliefs, Portfolio Constraints, Speculation and Asset Pricing : A General Equilibrium Analysis

Dau, Nam - 2018

This paper studies the interaction of borrowing and short-sale constraints and their ultimate effects on asset pricing properties in a simultaneous presence of the constraints in a dynamic general equilibrium model with heterogeneous risk aversions and heterogeneous beliefs in the aggregate cash...

Persistent link: https://www.econbiz.de/10012912715

Dispersion in Options Investors’ Versus Analysts’ Expectations : Predictive Inference for Stock Returns

Andreou, Panayiotis C. - 2019

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...

Persistent link: https://www.econbiz.de/10012905055

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108