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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
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Using a Modified Dividend Discount Model for Stock Market Games
Yu, Geungu - 2017
This paper presents a dividend discount model (DDM) modified for high-growth stocks as an investment decision tool for participants of stock market games. The participants input data from Value Line Investment Survey reports to the modified DDM for making their investment decisions. Comparing...
Persistent link: https://www.econbiz.de/10012955382
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Optimal Trade Sizing in a Game with Favourable Odds : The Stock Market
Haghani, Victor - 2016
In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...
Persistent link: https://www.econbiz.de/10012978604
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The effect of introducing a non-redundant derivative on the volatility of stock-market returns
Bhamra, Harjoat Singh; Uppal, Raman - 2006
Persistent link: https://www.econbiz.de/10003353062
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Strategic Mutual Fund Tournaments
Chen, Joseph - 2018
This paper characterizes the optimal risk-taking strategies of mutual fund managers competing in multi-period winner-take-all tournaments. With competition among mutual funds, every fund begins by taking maximum risk. In the final period, all funds continue to take maximum risk except possibly...
Persistent link: https://www.econbiz.de/10012940253
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Learning Equilibrium Mean-Variance Strategy
Dai, Min; Dong, Yuchao; Jia, Yanwei - 2021
We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time-inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium strategy. Under an...
Persistent link: https://www.econbiz.de/10013240451
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An evolutionary finance model with a risk-free asset
Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten - 2017
interaction of portfolio rules of competing market participants. A comprehensive theory of evolutionary dynamics of this kind has … the theory to a class of models with short selling and endogenous asset supply …
Persistent link: https://www.econbiz.de/10011865449
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Game Hoarding in Europe : Stock-Price Consequences of Local Bias?
Aabo, Tom - 2012
Hong, Kubik and Stein (JFE 2008) find that the price of a stock in the US is decreasing in the ratio of the aggregate book value of listed firms in a region to the aggregate personal income in the same region (“RATIO”), an “only-game-in-town” effect. We first replicate the HKS (2008)...
Persistent link: https://www.econbiz.de/10013115575
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Financial Markets Where Traders Neglect the Informational Content of Prices
Eyster, Erik - 2018
We model a financial market where some traders of a risky asset do not fully appreciate what prices convey about others' private information. Markets comprising solely such "cursed" traders generate more trade than those comprising solely rationals. Because rationals arbitrage distortions caused...
Persistent link: https://www.econbiz.de/10012928331
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Assessing mental models via recording the decision deliberations of pairs
Berninghaus, Siegfried; Güth, Werner; Klempt, Charlotte; … - 2013
Two participants have to decide jointly, with the discussions preceding their choice being video/audiotaped. For two tasks, one with and one without strategic interaction, we refer to obvious reasoning styles as mental models. The videotaped discussions are analyzed according to which mental...
Persistent link: https://www.econbiz.de/10009723594