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Legal restrictions on portfolio holdings : some empirical results

Hlouskova, Jaroslava; Lee, Gabriel S. - 2001

This article investigates the sensitivity analysis of mean-variance portfolio holdings to changes in the upper bounds. The optimization problem studied in this paper is, thus, constrained by a restriction that no more than certain portion of wealth can be invested in any one security. Our...

Persistent link: https://www.econbiz.de/10009724430

Uncertain growth, ambiguity aversion and asset prices

Liu, Hening - 2011

I develop a stochastic growth model with production where there is a hidden state governing productivity growth regimes, and the hidden state evolves according to a Markov chain. Economic agents learn about the hidden state and display ambiguity aversion in the spirit of Klibanoff et al. (2005)....

Persistent link: https://www.econbiz.de/10009411461

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010359861

Common risk factors in equity markets

Atanasov, Victoria - 2014 - This version: May 26, 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

Persistent link: https://www.econbiz.de/10010362976

The size effect in value and momentum factors : implications for the cross-section of international stock returns

Atanasov, Victoria; Nitschka, Thomas - 2013

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...

Persistent link: https://www.econbiz.de/10010224775

Optimal investment in a Black-Scholes model with a bubble

Herdegen, Martin; Herrmann, Sebastian - 2013

There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model. Based on a class of models that embeds the JLS model and can exhibit strict local martingale behavior, we clarify...

Persistent link: https://www.econbiz.de/10010257486

Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs

Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2014 - This version: February 15, 2014

prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks … liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion … such as the liquidity premium are overestimated in partial equilibrium relative to general equilibrium. …

Persistent link: https://www.econbiz.de/10010250161

Portfolio choice of financial investors and European business cycle convergence : a panel analysis for EU countries

Belke, Ansgar; Schneider, Jennifer - 2013

We investigate the linkage between business cycle convergence and financial portfolio choice for a panel of 18 EU countries. We construct an index of similarity of financial portfolios which we then put into context with the view that “the financial world” has an impact on business cycles...

Persistent link: https://www.econbiz.de/10010255115

Portfolio selection : a technical note

Martins, Ana Paula - 2012

This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...

Persistent link: https://www.econbiz.de/10011526683

Mean-variance efficiency and intertemporal price for risk

Leitner, Johannes - 2000

In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance optimal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio...

Persistent link: https://www.econbiz.de/10011544318