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Consumption Portfolio Choice With Preferences For Cash
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Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis Portfolio Theory and the Demand for Money by : Neil Thompson
Download or read book Portfolio Theory and the Demand for Money written by Neil Thompson and published by Springer. This book was released on 2016-07-27 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is an in-depth review of the theory and empirics of the demand for money and other financial assets. The different theoretical approaches to the portfolio choice problem are described, together with an up-to-date survey of the results obtained from empirical studies of asset choice behaviour. Both single-equation studies and the more complete multi-asset portfolio models, are analysed.
Book Synopsis Investors and Markets by : William F. Sharpe
Download or read book Investors and Markets written by William F. Sharpe and published by Princeton University Press. This book was released on 2008-07 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Nobel Prize-winning financial economist William Sharpe shows that investment professionals cannot make good portfolio choices unless they understand the determinants of asset prices." -- Provided by publisher.
Book Synopsis Handbook of Computational Finance by : Jin-Chuan Duan
Download or read book Handbook of Computational Finance written by Jin-Chuan Duan and published by Springer Science & Business Media. This book was released on 2011-10-25 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
Book Synopsis Portfolio Selection Using Multi-Objective Optimisation by : Saurabh Agarwal
Download or read book Portfolio Selection Using Multi-Objective Optimisation written by Saurabh Agarwal and published by Springer. This book was released on 2017-08-21 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the risk-return paradox in portfolio selection by incorporating multi-objective criteria. Empirical research is presented on the development of alternate portfolio models and their relative performance in the risk/return framework to provide solutions to multi-objective optimization. Next to outlining techniques for undertaking individual investor’s profiling and portfolio programming, it also offers a new and practical approach for multi-objective portfolio optimization. This book will be of interest to Foreign Institutional Investors (FIIs), Mutual Funds, investors, and researchers and students in the field.
Book Synopsis Keynes and Modern Economics by : Ryuzo Kuroki
Download or read book Keynes and Modern Economics written by Ryuzo Kuroki and published by Routledge. This book was released on 2012-08-21 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is a little over seventy years since John Maynard Keynes produced his magnum opus, The General Theory of Employment, Interest, and Money. Keynes' staggering achievement has been to remain relevant to economics and other disciplines even today and this book reflects that with an examination on his influence on modern economics. Leading economists from a variety of backgrounds, including Ed Nell and Heinz Kurz have joined forces in this volume with internationally respected Japanese scholars to produce a strong collection of contributions to the debate on Keynes' monumental legacy. This book will be vital reading for historians of economic thought, economic methodologists as well as those economists with an interest in the overall development of their discipline.
Book Synopsis Developments in Mean-Variance Efficient Portfolio Selection by : M. Agarwal
Download or read book Developments in Mean-Variance Efficient Portfolio Selection written by M. Agarwal and published by Springer. This book was released on 2015-12-11 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Author :International Monetary Fund. Monetary and Capital Markets Department Publisher :International Monetary Fund ISBN 13 :1484319907 Total Pages :57 pages Book Rating :4.4/5 (843 download)
Book Synopsis Japan by : International Monetary Fund. Monetary and Capital Markets Department
Download or read book Japan written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2017-09-18 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Technical Note analyzes and quantifies the effect of aging in Japan—both at the national and regional levels—on the nature of financial intermediation. Mounting demographic headwinds constitute a major challenge for regional financial institutions in Japan. According to prefectural population projections and econometric estimates, the impact from demographic headwinds is likely to intensify significantly over the next two decades. Financial sector policies should aim to address the constraints to financial access by further promoting risk-based lending and asset-based lending. Banks should continue to be encouraged to build capacity for risk assessment to do more risk-based lending.
Book Synopsis The Joint Hypothesis of Efficiency and Safety in Farm Portfolio Choices by : Abbévi Georges Abbey
Download or read book The Joint Hypothesis of Efficiency and Safety in Farm Portfolio Choices written by Abbévi Georges Abbey and published by . This book was released on 1993 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Preference and Indirect Utility in Portfolio Choice Problems by : Santanu Roy
Download or read book Risk Preference and Indirect Utility in Portfolio Choice Problems written by Santanu Roy and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Economics of Financial Turbulence by : Bill Lucarelli
Download or read book The Economics of Financial Turbulence written by Bill Lucarelli and published by Edward Elgar Publishing. This book was released on 2011-01-01 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This challenging book examines the origins and dynamics of financialeconomic crises. Its wide theoretical scope incorporates the theories of Marx, Keynes and various other Post Keynesian scholars of endogenous money, and provides a grand synthesis of these theoretical lineages, as well as a powerful critique of prevailing neoclassical/monetarist theories of money. Bill Lucarelli provides detailed historical analyses of the causes of the current international financial crisis, and offers alternative heterodox theories with more coherent and rigorous theoretical frameworks than existing economic orthodoxies. He illustrates that the very assumptions of neoclassical theory - informed by the efficient markets hypothesis - tend to rule out the very possibility of endogenous financial crises. Consequently, he argues, the endogenous causes of these crises are either ignored or simply treated as random, extraneous historical events. In stark contrast to these neoclassical/monetarist views, this book seeks to explain the recurrence of these financial crises as a result of the inner workings of the capitalist system.
Book Synopsis General Theory Of Employment , Interest And Money by : John Maynard Keynes
Download or read book General Theory Of Employment , Interest And Money written by John Maynard Keynes and published by Atlantic Publishers & Dist. This book was released on 2016-04 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: John Maynard Keynes is the great British economist of the twentieth century whose hugely influential work The General Theory of Employment, Interest and * is undoubtedly the century's most important book on economics--strongly influencing economic theory and practice, particularly with regard to the role of government in stimulating and regulating a nation's economic life. Keynes's work has undergone significant revaluation in recent years, and "Keynesian" views which have been widely defended for so long are now perceived as at odds with Keynes's own thinking. Recent scholarship and research has demonstrated considerable rivalry and controversy concerning the proper interpretation of Keynes's works, such that recourse to the original text is all the more important. Although considered by a few critics that the sentence structures of the book are quite incomprehensible and almost unbearable to read, the book is an essential reading for all those who desire a basic education in economics. The key to understanding Keynes is the notion that at particular times in the business cycle, an economy can become over-productive (or under-consumptive) and thus, a vicious spiral is begun that results in massive layoffs and cuts in production as businesses attempt to equilibrate aggregate supply and demand. Thus, full employment is only one of many or multiple macro equilibria. If an economy reaches an underemployment equilibrium, something is necessary to boost or stimulate demand to produce full employment. This something could be business investment but because of the logic and individualist nature of investment decisions, it is unlikely to rapidly restore full employment. Keynes logically seizes upon the public budget and government expenditures as the quickest way to restore full employment. Borrowing the * to finance the deficit from private households and businesses is a quick, direct way to restore full employment while at the same time, redirecting or siphoning
Book Synopsis The Return to Keynes by : Bradley W. Bateman
Download or read book The Return to Keynes written by Bradley W. Bateman and published by Harvard University Press. This book was released on 2010-06-01 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keynesian economics, which proposed that the government could use monetary and fiscal policy to help the economy avoid the extremes of recession and inflation, held sway for thirty years after World War II. However, it was discredited after the stagflation of the 1970s, which not only proved resistant to traditional Keynesian policies but was actually thought to be caused by them. By the 1990s, the anti-Keynesian counter-revolution seemed to reach its pinnacle with the award of several Nobel Prizes in economics to its architects at the University of Chicago. However, with the collapse of the dot-com boom in 2000 and the attacks of 9/11 a year later, the nature of macroeconomic policy debate took a turn. The collapse prompted a major shift in macroeconomic policy, as the Bush administration and other governments around the world began to resort to Keynesian measures--both monetary and fiscal policies--to stabilize the economy. The Keynesian rebirth has been most dramatically illustrated during the past year when central banks have pumped billions of dollars of liquidity into the world's financial system to address the crises of confidence, illiquidity, and insolvency that were triggered by the sub-prime lending crisis. The Return to Keynes puts Keynesian economics in a fresh perspective in order to assess this surprising new era in economic policy making.
Book Synopsis Risk aversion and portfolio choice by : Donald D. Hester
Download or read book Risk aversion and portfolio choice written by Donald D. Hester and published by . This book was released on 1967 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing Theory by : Costis Skiadas
Download or read book Asset Pricing Theory written by Costis Skiadas and published by Princeton University Press. This book was released on 2009-02-09 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Book Synopsis Quest for Good Money by : Yukinobu Kitamura
Download or read book Quest for Good Money written by Yukinobu Kitamura and published by Springer Nature. This book was released on 2022-12-07 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book examines the history and role of money. Money is often defined in terms of three interrelated functions: as a medium of exchange, store of value and unit of account. Researchers frequently discuss the first two functions, but tend to ignore unit of account. This book focuses on how a unit of account or denomination can be defined and can be derived from the monetary system. In the case of paper money and coins, we know how to determine the denomination of money based on the problem of the least number of weights defined by Bâchet and proved by Hardy and Wright (1960). However, in the case of digital or cryptocurrency, denomination may not matter because digital or cryptocurrency uses a wallet that is essentially denomination free: a wallet can contain any amount of currency without upper and lower limits. When people talk about the stablecoin, i.e. the stable price of digital and cryptocurrency with the major legal tender, they take a unit of account or denomination of digital or cryptocurrency as given. This arrangement destroys the nature of denomination free or decentralized autonomy as it were. Exploring how we can consolidate with these two views of denomination, this book will appeal to anyone interested in creating new digital or cryptocurrencies. It also serves as a textbook on central bank digital currency.
Book Synopsis Keynes's Theoretical Development by : Toshiaki Hirai
Download or read book Keynes's Theoretical Development written by Toshiaki Hirai and published by Routledge. This book was released on 2007-09-14 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comprehensive and authoritative, this book, written by a recognized authority on the subject explores the contributions to modern economics by John Maynard Keynes and addresses neglected, yet crucial aspects of the genesis of Keynesian economics. In this book, the author elucidates Keynes’ development as an economic theoretician through an examination of his books, articles, various manuscripts, lecture notes and controversial correspondence. Departing from a narrative account and analyzing processes of theory-building and re-building which constitute Keynes’s intellectual journey from the Tract to the General Theory, this volume shows Keynes’ theoretical development as a theoretical hypothesis. An excellent exposition of Keynes’ contribution, this is a valuable addition to the bookshelves of all to students and researchers interested in Keynes and more widely the history of economic thought and macroeconomics.
