Showing 1 - 10 of 13
We investigate whether a bank’s performance during the 1998 crisis, which was viewed at the timeas the most dramatic crisis since the Great Depression, predicts its performance during the recentfinancial crisis. One hypothesis is that a bank that has an especially poor experience in a...
Persistent link: https://www.econbiz.de/10009486818
The paper examines a game-theoretic evolutionary model of anasset market with endogenous equilibrium asset prices. Assetspay dividends that are partially consumed and partially rein-vested. The investors use general, adaptive strategies (portfo-lio rules), distributing their wealth between...
Persistent link: https://www.econbiz.de/10009022139
We develop a dynamic model of corporate investment and financing decisions in whichcorporate insiders have superior information about the firm's growth prospects. We show thatrms with positive private information can credibly signal their type to outside investors usingthe timing of corporate...
Persistent link: https://www.econbiz.de/10009305120
This chapter gives an overview of current research in evolutionary -nance. We mainly focus on the survival and stability properties ofinvestment strategies associated with the Kelly rule. Our approach tothe study of the wealth dynamics of investment strategies is inspired byDarwinian ideas on...
Persistent link: https://www.econbiz.de/10005868576
This paper examines the impact of agency conicts on corporate nancing decisions. Werst build a dynamic contingent claims model in which nancing policy results from a trade-obetween tax benets, contracting frictions, and agency conicts. In our setting, partially-entrenched managers set the rms'...
Persistent link: https://www.econbiz.de/10005868708
Let S be an Rd-valued semimartingale and ( n) a sequence of C-valued inte-grands, i.e., predictable, S-integrable processes taking values in some given closedset C(!, t) ⊆ Rd which may depend on the state ! and time t in a predictable way.Suppose that the stochastic integrals ( n · S)...
Persistent link: https://www.econbiz.de/10005868729
We study the influence of systematic probability misestimation on complexfinancial investment decisions on the context of structured financialproducts. Structured products have in recent years become more and morecomplex. We study the question whether this complexity might be a...
Persistent link: https://www.econbiz.de/10005868835
The paper examines a game-theoretic evolutionary model of a …-nancial market with endogenous equilibrium asset prices. Assetspay dividends that are partially consumed and partially rein-vested. The traders use general, adaptive strategies (portfoliorules), distributing their wealth between...
Persistent link: https://www.econbiz.de/10005868839
The paper examines a game-theoretic model of a …nancial market inwhich asset prices are determined endogenously in terms of short-runequilibrium. Investors use general, adaptive strategies depending onthe exogenous states of the world and the observed history of thegame. The main goal is to...
Persistent link: https://www.econbiz.de/10005868841
This paper aims to open a new avenue for research in continuoustimenancial market models with endogenous prices and heterogenousinvestors. The main result is the derivation of the limit of a discretetimeevolutionary stock market model as the length of the time periodtends to zero.[...]
Persistent link: https://www.econbiz.de/10005868842