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Robustness of Stable Volatility Strategies

Branger, Nicole - 2015

The paper analyzes the robustness of stable volatility strategies, i.e. strategies in which the portfolio weight of the … stock is inversely proportional to its local volatility. These strategies are optimal for a CRRA investor if the stock … follows a diffusion process, the expected excess return is proportional to its volatility, and the hedging demand is zero. We …

Persistent link: https://www.econbiz.de/10013031633

Adaptive learning and equilibrium selection in experimental coordination games : an ARCH(1) approach

Broseta, Bruno - In: Games and economic behavior 32 (2000) 1, pp. 25-50

Persistent link: https://www.econbiz.de/10001499150

Heterogeneous expectations and bond markets

Xiong, Wei; Yan, Hongjun - 2006

Persistent link: https://www.econbiz.de/10003407459

Crises and prices : information aggregation, multiplicity and volatility

Angeletos, Marios; Werning, Iván - In: The American economic review 96 (2006) 5, pp. 1720-1736

Persistent link: https://www.econbiz.de/10003409521

Heterogeneous expectations and bond markets

Xiong, Wei; Yan, Hongjun - In: The review of financial studies 23 (2010) 4, pp. 1433-1466

Persistent link: https://www.econbiz.de/10003959799

Price and inventory dynamics in an oligopoly industry : a framework for commodity markets

Steinmetz, Alexander (contributor) - 2010

This paper analyzes the interaction between price and inventory decisions in an oligopoly industry and its implications for the dynamics of prices. The work extends existing literature and especially the work of Hall and Rust (2007) to endogenous prices and strategic oligopoly competition. We...