Showing 1 - 10 of 9,666
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffusion. We introduce a new, intrinsic characteristic of the aggregate dividend process...
Persistent link: https://www.econbiz.de/10003971106
Does the momentum effect arise naturally from the determination of asset prices in market equilibrium? We calibrate a standard endowment model of multiple assets under recursive preferences. The momentum effect partly comes from investors' aversion to consumption risks. An unexpected dividend...
Persistent link: https://www.econbiz.de/10013101005
We study the representative consumer's risk attitude and efficient risk-sharing rules in a single-period, single-good economy in which consumers have homogeneous probabilistic beliefs but heterogeneous risk attitudes. We prove that if all consumers have convex absolute risk tolerance, so must...
Persistent link: https://www.econbiz.de/10014058197
This study examines household portfolio choice through the retirement transition. I show that couples significantly decrease their stock allocations after retirement, whereas singles' allocations remain relatively unchanged. Reallocations are concentrated among couples in which the wife is more...
Persistent link: https://www.econbiz.de/10013006993
A stochastic solution is proposed for a general problem of demand for risks with both value-maximizing firms and risk averse agents. Explicit solutions are possible for both models when the interesting risk is perceived to be fairly-priced by the two decision makers
Persistent link: https://www.econbiz.de/10013028600
We study optimal portfolio choice and equilibrium asset prices induced by alpha-maxmin expected utility (alpha-MEU) models. In the standard Ellsberg framework we prove that alpha-MEU preferences are equivalent to either maxmin, maxmax or subjective expected utility (SEU). We show how ambiguity...
Persistent link: https://www.econbiz.de/10013035352
This paper analyses the consumption-investment problem of a loss averse investor equipped with s-shaped utility over consumption relative to a time-varying reference level. Optimal consumption exceeds the reference level in good times and descend to the subsistence level in bad times....
Persistent link: https://www.econbiz.de/10013036244
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an application to margin constraints and found to match real world...
Persistent link: https://www.econbiz.de/10012917729
In a setting with information asymmetry and a tradable value-weighted market index, ambiguity averse investors hold undiversified portfolios, and assets have non-zero alphas. But when a passive fund offers the risk-adjusted market portfolio (RAMP) whose weights depend on information precisions...
Persistent link: https://www.econbiz.de/10012902436
We derive the equilibrium asset expected returns when there is ambiguity in asset expected returns, as well as ambiguity in asset return variances. In our model, ambiguity risk is systematic in nature and is non-diversifiable. Under regularity conditions, expected asset returns are linearly...
Persistent link: https://www.econbiz.de/10012902825