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What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation

Barberis, Nicholas - 2006

explanation for this puzzle is based on prospect theory. Despite its prominence, this explanation has received little formal … scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that …, at least for the simplest implementation of prospect theory, the link between these preferences and the disposition …

Persistent link: https://www.econbiz.de/10012779644

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

Chacko, George - 2010

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly...

Persistent link: https://www.econbiz.de/10012763770

Asymptotic Methods for Asset Market Equilibrium Analysis

Judd, Kenneth L. - 2010

General equilibrium analysis is difficult when asset markets are incomplete. We make the simplifying assumption that uncertainty is small and use bifurcation methods to compute Taylor series approximations for asset demand and asset market equilibrium. A computer must be used to derive these...

Persistent link: https://www.econbiz.de/10012763200

DSGE Models in a Data-Rich Environment

Boivin, Jean - 2011

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...

Persistent link: https://www.econbiz.de/10013118075

DSGE Models in a Data-Rich Environment

Boivin, Jean - 2012

Persistent link: https://www.econbiz.de/10013106021

DSGE Models in a Data-Rich Environment

Boivin, Jean - 2007

Persistent link: https://www.econbiz.de/10012778086

A Model of Stochastic Process Switching

Flood, Robert P.; Garber, Peter M. - 2021

In this paper we develop a rational expectations exchange rate model which is capable of confronting explicitly agents' beliefs about a future switch in exogenous driving processes. In our set-up the agents know with certainty both the initial exogenous process and the new process to be adopted...

Persistent link: https://www.econbiz.de/10013239183

Execution Risk

Engle, Robert F. - 2010

Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between risk and return in optimal execution should reflect the...

Persistent link: https://www.econbiz.de/10012761661

Evaluating Portfolio Policies : A Duality Approach

Haugh, Martin B. - 2009

The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using...

Persistent link: https://www.econbiz.de/10012767733

A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market

Turner, Christopher M. - 2010

. These parameter estimates from this model are consistent with asset pricing theory …

Persistent link: https://www.econbiz.de/10012762762