We develop a portfolio balance model to analyze the impact of euro area quantitative easing (QE) on asset yields. Our model features two countries each populated by two agents representing their respective banking and mututal fund sectors. Agents, which differ in their preferences for assets,...

We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and trading concentrates on assets of intermediate maturity....

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and illiquidity spills over from short-term to long-term...

Hedging under a parallel shift of the interest rate curve is well-known for a long date in finance literature. It is based on the use of a duration-convexity approximation essentially pioneered by Fisher-Weil [2]. However the situation is inaccurately formulated such that the obtained result is...

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only hold short-term assets) and predicts i) a hump-shaped...

This paper analytically solves the portfolio optimization problem of an investor faced with a risky arbitrage opportunity (e.g. relative mispricing in equity pairs). Unlike the extant literature, which typically models mispricings through the Ornstein-Uhlenbeck (OU) process, we introduce a...

Hedging under a parallel shift of the interest rate curve is well-known for a long date in finance literature.However the situation is inaccurately formulated such that the obtained result is very questionable. Among the inconveniences which may be raised are the following: the time-passage is...

The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...

This paper focuses on the Spanish government debt market in an attempt to evaluate the immunization performance of the polynomial duration model of Chambers and Carleton (Chambers, D.R., Carleton, W.T., 1988. A generalized approach to duration. In: Chen, A.H. (Ed.), Research in Finance, vol. 7,...