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Geographic versus Industry Diversification : Constraints Matter

Ehling, Paul; Ramos, Sofia B. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

These research addressess whether geographic diserfication provides benefits over industry diversification in a sample of European country and industry indexes.The methodology allows performance comparison with short-slling constraints, upper and lower bounds, and many bechmarks. In the absence...

Persistent link: https://www.econbiz.de/10005857789

The impact of heterogeneous beliefs on trading volume

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

trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if …

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

Stock Exchange Competition in a Simple Model of Capital Market Equilibrium

Ramos, Sofia B.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...

Persistent link: https://www.econbiz.de/10005858015

Robust Mean-Variance Portfolio Selection

Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and …

Persistent link: https://www.econbiz.de/10005858020

Nash Competive Equilibria and Two Period Fund Separation

Hens, Thorsten; Reimann, Stefan; Vogt, Bodo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If two-fund separation is found to hold across periods for competitive behavior, it also holds for strategic behavior. In this case the relative prices of the assets do not depend on...

Persistent link: https://www.econbiz.de/10005858107

Evolutionary Portfolio Selection with Liquidity Shocks

De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on liquidity shocks which occur during unfavorable years, when indemnities to be paid to the clients exceed collected premia. An investment strategy that does not take liquidity...

Persistent link: https://www.econbiz.de/10005858142

Higher Order Asymptotic Optimal Policies for Partial Equilibrium Economies

Ferretti, Roberto G.; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

We apply perturbation theory to solve the optimal control problem of an investor with time-additive power utility over intermediate consumption and ﬁnal wealth. Under general conditions we show existence of a power series representation for the prevailing optimal consumption and investment...

Persistent link: https://www.econbiz.de/10005858306

Ratchet vs Blase Investors and Asset Markets

St-Amour, Pascal - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem …) we identify closed-form solutions for optimal consumption and portfolio rules; (ii) we use the optimal rules to estimate … the model using aggregate portfolio data, and (iii) we derive and discuss the pricing implications of our results. Our …

Persistent link: https://www.econbiz.de/10005858307

Survival of the Fittest on Wall Street

Hens, Thorsten; SchenkHoppe, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

Industrial Average (DJIA).We analyze numerically the long-run outcome of the competition ofﬁx-mix portfolio rules in a stock ….The simulations also show that the evolutionary portfolio rule discovered in Hens and Schenk-Hoppe (2004) will eventually hold total … market wealth in competition with ﬁx-mix portfolio rules derived from mean-variance optimization, maximum growth theory and …

Persistent link: https://www.econbiz.de/10005858308

Mortality risk and real optimal asset allocation for pension funds

Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We analyze the problem of real optimal asset allo cation for a p ensionfund maximising the exp ected CRRA utility of its real disp osable wealth.The ﬁnancial horizon of the analysis coincides with the random deathtime of a representative subscriber. We consider a very general settingwhere...

Persistent link: https://www.econbiz.de/10005858365