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Comparing Search and Intermediation Frictions across Markets

Pinter, Gabor; Uslu, Semih - 2022

government and corporate bond markets. Using transaction‑level data from the UK, we identify a set of clients who are active in … bond market, while trading delays are more severe in the corporate bond market. We find that the welfare loss from … frictions in the government and corporate bond markets are 7.8% and 12.2%, respectively, and our decomposition implies that this …

Persistent link: https://www.econbiz.de/10013289163

Comparing Search and Intermediation Frictions Across Markets

Pinter, Gabor; Uslu, Semih - 2022

government and corporate bond markets. Using transaction-level data from the UK, we identify a set of clients who are active in … bond market, while trading delays are more severe in the corporate bond market. We find that the welfare loss from … frictions in the government and corporate bond markets are 7.8% and 12.2%, respectively, and our decomposition implies that this …

Persistent link: https://www.econbiz.de/10013292830

A Markov-Modulated Stochastic Control Problem with Optimal Multiple Stopping with Application to Finance

Leung, Tim - 2015

This paper studies the valuation of multiple American options in an incomplete market where asset prices follow Markov-modulated dynamics. The holder's optimal hedging and exercising strategies are determined from a utility maximization problem with optimal multiple stopping. We analyze the...

Persistent link: https://www.econbiz.de/10013038620

Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme

Menoncin, Francesco; Vergalli, Sergio - 2019

In this work we solve in a closed form the problem of an agent who wants to optimise the inter-temporal utility of both his consumption and leisure by choosing: (i) the optimal inter-temporal consumption, (ii) the optimal inter-temporal labour supply, (iii) the optimal share of wealth to invest...

Persistent link: https://www.econbiz.de/10012006564

What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration

Ghent, Andra C. - 2020

What makes an asset institutional-quality? This paper proposes that one reason is the existing concentration of delegated investors in a market through a liquidity channel. Consistent with this intuition, it documents differences in investor composition across US cities and shows that delegated...

Persistent link: https://www.econbiz.de/10012853649

Optimal Stopping Time, Consumption, Labour, and Portfolio Decision for a Pension Scheme

Menoncin, Francesco - 2019

Persistent link: https://www.econbiz.de/10012870842

In Search of Gold : Insights From Google Searches on Portfolio Hedging Effectiveness

Prange, Philipp - 2020

Online investor attention, measured by Google searches, may provide valuable information for the assessment of the co-movement between financial assets. In our empirical analysis, we draw upon an extension of the dynamic conditional correlation model and find that online investor attention is a...

Persistent link: https://www.econbiz.de/10012839849

Proving Regularity of the Minimal Probability of Ruin Via a Game of Stopping and Control

Bayraktar, Erhan - 2016

We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market; (b) a controller-and-stopper problem, in which the...

Persistent link: https://www.econbiz.de/10012990971

In Search of Pairs using Firm Fundamentals : Is Pairs Trading Profitable?

Hong, Sungju; Hwang, Soosung - 2022

We investigate whether spurious pairs created by multiple hypothesis testing can be minimized when firm characteristics are used to identify pairs. The results show that the portfolios of pairs that have higher similarities in firm characteristics outperform those that are fundamentally less...

Persistent link: https://www.econbiz.de/10014351716

Optimal dxecution with multiplicative price impact and incomplete information on the return

Dammann, Felix; Ferrari, Giorgio - 2022

We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at selling over an infinite time-horizon a fixed amount of assets in order to maximize a net expected profit...

Persistent link: https://www.econbiz.de/10012880685