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How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler principle to attribute risk to its driving factors when...
Persistent link: https://www.econbiz.de/10012293012
In the United States, exchange-traded funds can defer capital gains taxes of their investors by taking advantage of a legal loophole, sometimes referred to as Wall Street's "dirty little secret". To quantify the impact of this tax loophole on investor portfolios, we study a rank-dependent...
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We study the optimal execution problem in a principal-agent setting. A client contracts to purchase a large position from a dealer at a future point in time. In the interim, the dealer acquires the position from the market, choosing how to split the parent order into smaller child orders. Price...
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How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler principle to attribute risk to its driving factors when...
Persistent link: https://www.econbiz.de/10013247864
To analyze how digital currencies affect trading and prices in over-the-counter markets, we introduce a search and bargaining model where agents transact in traditional and digital currencies. The digital currency has lower transaction costs, but part of the population is reluctant to use it....
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