Similar Search Results

Globally Evolutionarily Stable Portfolio Rules

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The paper examines a dynamic model of a financial market with endogenous asset prices determined by short run equilibrium of supply and demand. Assets pay dividends that are partially consumed and partially reinvested. The traders use fixed-mix investment strategies (portfolio rules),...

Persistent link: https://www.econbiz.de/10005858779

Learning and Asset Prices under Ambiguous Information

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We propose a new continuous time framework to study asset prices under learning and ambiguity aversion. In a partial information Lucas economy with time additive power utility, a discount for ambiguity arises if and only if the elasticity of intertemporal substitution (EIS) is above one. Then,...

Persistent link: https://www.econbiz.de/10005858768

International Asset Allocation and Hidden Regime Switching

Morger, Felix - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We study the strategic asset allocation for an international investor. The recent empirical evidence on the partial predictability of asset returns has renewed theacademic and practical interest in strategic asset allocation. To model time varying returns on stocks, we use a Gaussian...

Persistent link: https://www.econbiz.de/10005858133

The impact of heterogeneous beliefs on trading volume

Bauer, Wolfgang - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...

Persistent link: https://www.econbiz.de/10005857971

Optimal asset management for pension funds

Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Purpose of this paper: we study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. Design/methodology/approach: we apply the stochastic...

Persistent link: https://www.econbiz.de/10005858533

Limits to Arbitrage when Market Participation Is Restricted

Hens, Thorsten; Heringsy, Jean-Jacques; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in ﬁnancial … markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with … short-lived securities,no short-selling constraints and no transaction costs. We show thatto exploit all existing arbitrage …

Persistent link: https://www.econbiz.de/10005858363