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In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient...
Persistent link: https://www.econbiz.de/10004966183
In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient...
Persistent link: https://www.econbiz.de/10005579836
Persistent link: https://www.econbiz.de/10009949826
Persistent link: https://www.econbiz.de/10002652246
Abstract In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a...
Persistent link: https://www.econbiz.de/10014620875
In this paper, we develop a model of the market for equity mutual funds that captures three key characteristics of this market. First, there is competition among funds. Second, fund managers' ability is not observed by investors before making their investment decisions. And third, some investors...
Persistent link: https://www.econbiz.de/10005417104
Oil-linked derivatives are becoming very important in Modern Investment Theory. Accordingly, the analysis of Pricing Techniques and Portfolio Choice Problems involving these securities is a major topic for both managers and researchers. We focus on both the No-Arbitrage Approach and Stochastic...
Persistent link: https://www.econbiz.de/10005417105
This paper compares assets-based portfolio management fees to profits-based fees. Whilst both forms of compensation can provide appropriate risk incentives, fund managers´ limited liability induces more excess risk-taking under a profits-based fee contract. On the other hand, an assets-based...
Persistent link: https://www.econbiz.de/10005767693
We propose a new procedure to estimate and test conditional beta pricing models which allows for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). The method can be seen as a nonparametric version of the two-pass approach commonly employed in...
Persistent link: https://www.econbiz.de/10008486970
This paper studies the properties of the continuous double auction trading mechanishm using an artificial market populated by heterogeneous computational agents. In particular, we investigate how changes in the population of traders and in market microstructure characteristics affect price...
Persistent link: https://www.econbiz.de/10005249590