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strategies to final positions. This allows us to treat, under a very mild no-arbitrage-type assumption, a whole range of …
Persistent link: https://www.econbiz.de/10009558495
This paper illustrates the importance of density forecasting in portfolio decision making involving bonds of different maturities. The forecast performance of an atheoretic and a theory informed model of bond returns is evaluated. The decision making environment is fully described for an...
Persistent link: https://www.econbiz.de/10003953018
For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs...
Persistent link: https://www.econbiz.de/10011402594
This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.
Persistent link: https://www.econbiz.de/10005843396
This paper analyzes competition between mutual funds in a multiple fundsversion of the model of Hugonnier and Kaniel [18]. We characterize the setof equilibria for this delegated portfolio management game and show thatthere exists a unique Pareto optimal equilibrium. The main result of thispaper...
Persistent link: https://www.econbiz.de/10005868918
The paper examines a dynamic model of a financial market with endogenous asset prices determined by short run equilibrium of supply and demand. Assets pay dividends that are partially consumed and partially reinvested. The traders use fixed-mix investment strategies (portfolio rules),...
Persistent link: https://www.econbiz.de/10005858779
strategies to final positions. This allows us to treat,under a very mild no-arbitrage-type assumption, a whole range of quadratic …
Persistent link: https://www.econbiz.de/10009418985
It is well known that mean-variance portfolio selection is a time-inconsistent optimalcontrol problem in the sense that it does not satisfy Bellman’s optimalityprinciple and therefore the usual dynamic programming approach fails. We developa time-consistent formulation of this problem, which...
Persistent link: https://www.econbiz.de/10009486998
We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...
Persistent link: https://www.econbiz.de/10009487000
Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory. Research systematically investigated the selection of securities, and defined the importance of using fundamental analysis when selecting the best combination of securities....
Persistent link: https://www.econbiz.de/10010222861