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Passive investment strategies and financial bubbles
Fischer, Thomas - 2012
In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...
Persistent link: https://www.econbiz.de/10010323727
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Global invertibility of excess demand functions
Covarrubias, Enrique - 2013
to be globally invertible so that there is a unique equilibrium. Indeed, we show that an excess demand function is …
Persistent link: https://www.econbiz.de/10010392395
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Passive investment strategies and financial bubbles
Fischer, Thomas - 2012
In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...
Persistent link: https://www.econbiz.de/10009521601
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Cobweb theorems with production lags and price forecasting
Dufresne, Daniel; Vázquez-Abad, Felisa - 2012
The classical cobweb theorem is extended to include production lags and price forecasts. Price forecasting based on a longer period has a stabilizing effect on prices. Longer production lags do not necessarily lead to unstable prices; very long lags lead to cycles of constant amplitude. The...
Persistent link: https://www.econbiz.de/10009514730
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Cobweb theorems with production lags and price forecasting
Dufresne, Daniel; Vázquez-Abad, Felisa - 2012
The classical cobweb theorem is extended to include production lags and price forecasts. Price forecasting based on a longer period has a stabilizing effect on prices. Longer production lags do not necessarily lead to unstable prices; very long lags lead to cycles of constant amplitude. The...
Persistent link: https://www.econbiz.de/10010308394
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Cobweb Theorems with Production Lags and Price Forecasting
Dufresne, Daniel - 2012
The classical cobweb theorem is extended to include production lags and price forecasts. Price forecasting based on a longer period has a stabilizing effect on prices. Longer production lags do not necessarily lead to unstable prices; very long lags lead to cycles of constant amplitude. The...
Persistent link: https://www.econbiz.de/10013108007
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Rational Factor Analysis
Malamud, Semyon - 2007
economy. The method is generally applicable.We show that the equilibrium state price density process for a weakly …
Persistent link: https://www.econbiz.de/10012731531
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Credit Bubbles in Arbitrage Markets : The Geometric Arbitrage Approach to Credit Risk
Farinelli, Simone - 2019
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the...
Persistent link: https://www.econbiz.de/10012904838
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Uniqueness and Stability of Equilibrium in Economies with Two Goods
Geanakoplos, John - 2016
We offer new sufficient conditions ensuring demand is downward sloping local to equilibrium. It follows that … equilibrium is unique and stable in the sense that rising supply implies falling prices. In our setting, there are two goods … utility displays nonincreasing absolute risk aversion, then market demand is strictly downward sloping local to equilibrium …
Persistent link: https://www.econbiz.de/10012984614
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Stability analysis of solutions to equilibrium problems and applications in economics
Tran Ngoc Tam; Nguyen Minh Hai; Bantaojai Thanatporn - In: Asian journal of economics and banking : AJEB 4 (2020) 3, pp. 121-132
Purpose - The purpose of this paper is to study the Hölder calmness of solutions to equilibrium problems and apply it … equilibrium problems are established. Findings - A new result in stability analysis for equilibrium problems and applications in …
Persistent link: https://www.econbiz.de/10012515025