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The cyclical dynamics of illiquid housing, debt, and foreclosures

Hedlund, Aaron - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 289-328

This paper quantitatively accounts for the cyclical dynamics of key macroeconomic housing and mortgage market variables using a tractable, searchtheoretic model of housing with equilibrium mortgage default. To explain these dynamics, the model highlights the importance of liquidity spirals that...

Persistent link: https://www.econbiz.de/10011798986

Disagreements with noisy signals and asset pricing

Wang, Hailong; Hu, Duni; Ma, Chaoqun; Cheng, Fengchao - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-35

Persistent link: https://www.econbiz.de/10012659556

The optimal spending rate versus the expected real return of a sovereign wealth fund

Aase, Knut K.; Bjerksund, Petter - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-35

We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the fund is significantly less than the fund's expected real rate of return. The...

Persistent link: https://www.econbiz.de/10012628390

Recursive utility using the stochastic maximum principle

Aase, Knut K. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 859-887

Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to analyze the model. This method uses forward/backward...

Persistent link: https://www.econbiz.de/10011800871

Fund managers : why the best might be the worst ; on the evolutionary vigor of risk-seeking behavior

Witte, Björn-Christopher - 2012

measures on how to achieve this. -- risk preferences ; competition ; genetic programming ; fund managers ; portfolio theory …. As a practical example, the professional competition between fund managers is considered. To explore how different … evolutionary model is developed. Using a simple genetic algorithm, two attributes of virtual fund managers evolve: the share of …

Persistent link: https://www.econbiz.de/10009553043

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993

This paper assesses the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10011994544

Stress testing by financial intermediaries : implications for portfolio selection and asset pricing

Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of financial intermediation 18 (2009) 1, pp. 65-92

Persistent link: https://www.econbiz.de/10003813182

Time-varying risk and the relation between idiosyncratic risk and stock return

Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...

Persistent link: https://www.econbiz.de/10012628441

Alternative views on the link between risk aversion and diminishing marginal utility of wealt

Menzl, Vojtěch - In: European financial and accounting journal : EFAJ 16 (2021) 2, pp. 51-72

Although the link between risk aversion and diminishing marginal utility of wealth is academically well established, theoretical discussions concerning its empirical validity remain. The presented, review-type paper aims to briefly examine theoretical roots responsible for the different views on...

Persistent link: https://www.econbiz.de/10012807566

Two-fund separation in dynamic general equilibrium

Schmedders, Karl - In: Theoretical economics : TE ; an open access journal in … 2 (2007) 2, pp. 135-161

This paper examines the two-fund separation paradigm in the context of an infinite-horizon general equilibrium model with dynamically complete markets and heterogeneous consumers with time- and state-separable utility functions. With the exception of the dynamic structure, we maintain the...

Persistent link: https://www.econbiz.de/10011702563

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