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Author : Benjamin Jonen
Publisher :
ISBN 13 :
Total Pages : 113 pages
Book Rating : 4.:/5 (861 download)
Download or read book Essays on Asset Pricing and Portfolio Choice written by Benjamin Jonen and published by . This book was released on 2012 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mahmoud Botshekan
Publisher :
ISBN 13 : 9789036103312
Total Pages : 142 pages
Book Rating : 4.1/5 (33 download)
Download or read book Three Essays in Asset Pricing and Portfolio Choice written by Mahmoud Botshekan and published by . This book was released on 2012 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oleg Shibanov
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (132 download)
Download or read book Essays in Asset Pricing and Portfolio Choice written by Oleg Shibanov and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ehud Peleg
Publisher : ProQuest
ISBN 13 :
Total Pages : 356 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance written by Ehud Peleg and published by ProQuest. This book was released on 2008 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philipp Karl Illeditsch
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (69 download)
Download or read book Essays in Asset Pricing and Portfolio Choice written by Philipp Karl Illeditsch and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Ơ̐1rst essay, I decompose inƠ̐2ation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor0́9s preferences and investment opportunities and (ii) a residual part. I show that only the Ơ̐1rst part earns a risk premium. All nominal Treasury bonds, including the nominal money-market account, are equally exposed to the residual part except inƠ̐2ation-protected Treasury bonds, which provide a means to hedge it. Every investor should put 100% of his wealth in the market portfolio and inƠ̐2ation-protected Treasury bonds and hold a zero-investment portfolio of nominal Treasury bonds and the nominal money market account. In the second essay, I solve the dynamic asset allocation problem of Ơ̐1nite lived, constant relative risk averse investors who face inƠ̐2ation risk and can invest in cash, nominal bonds, equity, and inƠ̐2ation-protected bonds when the investment opportunityset is determined by the expected inƠ̐2ation rate. I estimate the model with nominal bond, inƠ̐2ation, and stock market data and show that if expected inƠ̐2ation increases, then investors should substitute inƠ̐2ation-protected bonds for stocks and they should borrow cash to buy long-term nominal bonds. In the lastessay, I discuss how heterogeneity in preferences among investors withexternal non-addictive habit forming preferences aƠ̐0ects the equilibrium nominal term structure of interest rates in a pure continuous time exchange economy and complete securities markets. Aggregate real consumption growth and inƠ̐2ation are exogenously speciƠ̐1ed and contain stochastic components thataƠ̐0ect their means andvolatilities. There are two classes of investors who have external habit forming preferences and diƠ̐0erent localcurvatures oftheir utility functions. The eƠ̐0ects of time varying risk aversion and diƠ̐0erent inƠ̐2ation regimes on the nominal short rate and the nominal market price of risk are explored, and simple formulas for nominal bonds, real bonds, and inƠ̐2ation risk premia that can be numerically evaluated using Monte Carlo simulation techniques are provided.
Author : Pascal J. Maenhout
Publisher :
ISBN 13 :
Total Pages : 194 pages
Book Rating : 4.:/5 (248 download)
Download or read book Essays on Portfolio Choice and Asset Pricing written by Pascal J. Maenhout and published by . This book was released on 2000 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kerry Back
Publisher : Oxford University Press
ISBN 13 : 0199939071
Total Pages : 504 pages
Book Rating : 4.1/5 (999 download)
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry Back and published by Oxford University Press. This book was released on 2010-09-10 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.
Author : James Eric Gunderson
Publisher :
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.:/5 (319 download)
Download or read book Two Essays on Asset Pricing and Asset Choice written by James Eric Gunderson and published by . This book was released on 2004 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hsin-hung Jerry Tsai
Publisher :
ISBN 13 :
Total Pages : 178 pages
Book Rating : 4.:/5 (858 download)
Download or read book Essays on Asset Pricing and Portfolio Choice written by Hsin-hung Jerry Tsai and published by . This book was released on 2013 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maxime Sauzet
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.5/5 (355 download)
Download or read book Essays on Asset Pricing, Portfolio Choice, and International Finance written by Maxime Sauzet and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates a number of topics in international finance and macroeconomics, with a particular emphasis on using and adapting tools from asset pricing to this context. Chapter 1, co-authored with Pierre-Olivier Gourinchas and Helene Rey, starts by providing an overview of the structure of the international monetary and financial system. Chapter 2 zooms in on a specific and long-standing open issue that has received a lot of attention in the international finance literature: the international portfolio choice problem, which is concerned with how investors allocate their portfolio internationally. Despite this attention, the literature has only provided limited answers to this problem in terms of resolution methods and the generality of preferences, an issue that I aim to alleviate in this Chapter. Because of its generality, the framework of Chapter 2 lends itself to several applications and extensions. Chapter 3 focuses on one main application, in which I show that the model can reproduce a number of stylized facts about the structure and dynamics of the international financial system, and in particular the role of the United States, and of asset returns in this context. Finally, Chapter 4, co-authored with Pierre-Olivier Gourinchas and Helene Rey, focuses on the secular decline in global real interest rates, another key theme in international finance and macroeconomics. We suggest that the world real rate of interest is likely to remain low or negative for an extended period of time, and discuss a number of possible explanations, an important one being the process of deleveraging of the balance sheets of investors.
Author : Kerry E. Back
Publisher : Oxford University Press
ISBN 13 : 0190241152
Total Pages : 608 pages
Book Rating : 4.1/5 (92 download)
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry E. Back and published by Oxford University Press. This book was released on 2017-01-04 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.
Author : Antonios Sangvinatsos
Publisher :
ISBN 13 :
Total Pages : 438 pages
Book Rating : 4.:/5 (841 download)
Download or read book Three Essays in Portfolio Choice and Asset Pricing written by Antonios Sangvinatsos and published by . This book was released on 2005 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Publ ... 7. Reihe. Urkundenbuch des Burgenlandes written by and published by . This book was released on 1965 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhenzhen Fan
Publisher :
ISBN 13 : 9789036104852
Total Pages : 145 pages
Book Rating : 4.1/5 (48 download)
Download or read book Essays on International Portfolio Choice and Asset Pricing Under Financial Contagion written by Zhenzhen Fan and published by . This book was released on 2017 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The 2008 financial crisis has witnessed prices of assets traded on different exchange markets, of various asset classes, from different geographical locations plunge simultaneously or in close succession, causing serious problems for banks, insurance companies, and other financial institutions. It calls for models that account for the unconventional dependence structure of asset prices beyond the classical paradigm. The class of mutually exciting jump-diffusion processes is a promising workhorse for modeling financial contagion in continuous-time finance. The class provides a parsimonious model of jump propagation, allowing for cross-sectional asymmetry and serial dependence through time: a jump that takes place in one asset market today leads to a higher probability of experiencing future jumps in the same market as well as in other markets around the world. This thesis tries to reconsider some of the classical problems in finance, most noticeably asset pricing, portfolio choice, hedging, and valuation, in the presence of contagion. We show that many investment and risk management implications and market efficiency conditions derived from classical models are no longer valid in the context of financial contagion."--Samenvatting auteur.
Author : André Meyer-Wehmann
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Essays on Portfolio Choice and Asset Pricing written by André Meyer-Wehmann and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Farina Weiss
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays in Empirical Asset Pricing and Consumption-portfolio Choice written by Farina Weiss and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ti Zhou
Publisher :
ISBN 13 :
Total Pages : 282 pages
Book Rating : 4.:/5 (312 download)
Download or read book Essays on Pricing and Portfolio Choice in Incomplete Markets written by Ti Zhou and published by . This book was released on 2008 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a contribution to the pricing and portfolio choice theory in incomplete markets. It consists of three self-contained but interlinked essays. In the first essay, we present a utility-based methodology for the valuation and the risk management of mortgage-backed securities subject to totally unpredictable prepayment risk. Incompleteness stems from its embedded pre-payment option which affects the security's cash flow pattern. The prepayment time is constructed via deterministic or stochastic hazard rate. The relevant indifference price consists of a linear term, corresponding to the remaining outstanding balance, and a nonlinear one that incorporates the investor's risk aversion and the interest payments generated by the mortgage contract. The indifference valuation approach is also extended to the case of homogeneous mortgage pools. In the second essay, using forward optimality criteria, we analyze a portfolio choice problem when the local risk tolerance is time-dependent and asymptotically linear in wealth. This class corresponds to a dynamic extension of the traditional (static) risk tolerances associated with the power, logarithmic and exponential utilities. We provide explicit solutions for the optimal investment strategies and wealth processes in an incomplete non-Markovian market with asset prices modelled as Ito processes. The methodology allows for measuring the investment performance in terms of a benchmark and alter-native market views. In the last essay, we extend the forward investment performance approach to study the optimal portfolio choice problem in an incomplete market driven by jump processes. The asset price is modelled by a one-dimensional Lévy-Itô process. We prove the existence of a forward performance process by restricting the local risk tolerance functions to be time-independent and linear in wealth. This yields only three types of performance measurement criteria, namely, exponential, power and logarithmic. The optimal portfolios are constructed via stochastic feedback controls under these criteria.
