Risk Aversion And Optimal Portfolio Policies In Partial And General Equilibrium Economies
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Risk Aversion And Optimal Portfolio Policies In Partial And General Equilibrium Economies
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Author : Leonid Kogan
language : en
Publisher:
Release Date : 2001
Risk Aversion And Optimal Portfolio Policies In Partial And General Equilibrium Economies written by Leonid Kogan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Economics categories.
Abstract: In this article, we show how to analyze analytically the equilibrium policies and prices in an economy with a stochastic investment opportunity set and incomplete financial markets, when agents have power utility over both intermediate consumption and terminal wealth, and face portfolio constraints. The exact local comparative statics and approximate but analytical expression for the portfolio policy and asset prices are obtained by developing a method based on perturbation analysis to expand around the solution for an investor with log utility. We then use this method to study a general equilibrium exchange economy with multiple agents who differ in their degree of risk aversion and face borrowing constraints. We characterize explicitly the consumption and portfolio policies and also the properties of asset returns. We find that the volatility of stock returns increases with the cross-sectional dispersion of risk aversion, with the cross-sectional dispersion in portfolio holdings, and with the relaxation of the constraint on borrowing. Moreover, tightening the borrowing constraint lowers the risk-free interest rate and raises the equity premium in equilibrium.
Risk Aversion And Optimal Portfolio In Partial And General Equilibrium Economies
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Author : Leonid KOGAN
language : en
Publisher:
Release Date : 2002
Risk Aversion And Optimal Portfolio In Partial And General Equilibrium Economies written by Leonid KOGAN and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Risk Aversion And Optimal Portfolio Policies In Partial And General Equilibrium Econommies
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Author : Leonid Kogan
language : en
Publisher:
Release Date : 2001
Risk Aversion And Optimal Portfolio Policies In Partial And General Equilibrium Econommies written by Leonid Kogan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Risk Aversion And Optimal Porfolio Policies In Partial And General Equilibrium Economies
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Author : Leonid Kogan
language : en
Publisher:
Release Date : 2001
Risk Aversion And Optimal Porfolio Policies In Partial And General Equilibrium Economies written by Leonid Kogan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Risk Aversion And Optimal Portfolio Policies In Partial And General Equilibrium Economies
DOWNLOAD
Author : Leonid Kogan
language : en
Publisher:
Release Date : 2002
Risk Aversion And Optimal Portfolio Policies In Partial And General Equilibrium Economies written by Leonid Kogan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Equilibrium (Economics) categories.
Robustness And Ambiguity Aversion In General Equilibrium
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Author :
language : en
Publisher:
Release Date :
Robustness And Ambiguity Aversion In General Equilibrium written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
We analyze the empirical predictions arising from settings of ambiguity aversion in intertemporal heterogenous agents economies. We study equilibria for two tractable wealth-homothetic settings of ambiguity aversion in continuous time. Such settings are motivated by a different robust control optimization problem. We show that ambiguity aversion affects optimal portfolio exposures in a way that is similar to an increase in risk aversion. A distinct property of the second of our settings of ambiguity aversion is that such increase is state-dependent and highly pronounced at moderate portfolio exposures. This feature causes quite prudent levels of equity market participation over a nontrivial set of states of the economy. In general equilibrium, ambiguity aversion tends to induce a higher equilibrium equity premium and lower interest rates. A distinct feature of the second of our settings of ambiguity aversion is that the equity premium part due to ambiguity aversion dominates when the exogenous random factors in the economy have low volatility. Thus, such setting can account for some distinct empirical predictions - like a limited equity market participation and ambiguity equity premia that dominate equity premia for small equity volatilities - which are unavailable under the first of our settings of ambiguity aversion.
Mathematical Control Theory And Finance
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Author : Andrey Sarychev
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-03-31
Mathematical Control Theory And Finance written by Andrey Sarychev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-03-31 with Mathematics categories.
Control theory provides a large set of theoretical and computational tools with applications in a wide range of ?elds, running from ”pure” branches of mathematics, like geometry, to more applied areas where the objective is to ?nd solutions to ”real life” problems, as is the case in robotics, control of industrial processes or ?nance. The ”high tech” character of modern business has increased the need for advanced methods. These rely heavily on mathematical techniques and seem indispensable for competitiveness of modern enterprises. It became essential for the ?nancial analyst to possess a high level of mathematical skills. C- versely, the complex challenges posed by the problems and models relevant to ?nance have, for a long time, been an important source of new research topics for mathematicians. The use of techniques from stochastic optimal control constitutes a well established and important branch of mathematical ?nance. Up to now, other branches of control theory have found comparatively less application in ?n- cial problems. To some extent, deterministic and stochastic control theories developed as di?erent branches of mathematics. However, there are many points of contact between them and in recent years the exchange of ideas between these ?elds has intensi?ed. Some concepts from stochastic calculus (e.g., rough paths) havedrawntheattentionofthedeterministiccontroltheorycommunity.Also, some ideas and tools usual in deterministic control (e.g., geometric, algebraic or functional-analytic methods) can be successfully applied to stochastic c- trol.
Portfolio Rebalancing In General Equilibrium
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Author : Miles S. Kimball
language : en
Publisher:
Release Date : 2018
Portfolio Rebalancing In General Equilibrium written by Miles S. Kimball and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This paper develops an overlapping generations model of optimal rebalancing where agents differ in age and risk tolerance. Equilibrium rebalancing is driven by a leverage effect that influences levered and unlevered agents in opposite directions, an aggregate risk tolerance effect that depends on the distribution of wealth, and an intertemporal hedging effect. After a negative macroeconomic shock, relatively risk tolerant investors sell risky assets while more risk averse investors buy them. Owing to interactions of leverage and changing wealth, however, all agents have higher exposure to aggregate risk after a negative macroeconomic shock and lower exposure after a positive shock.
Strategic Asset Allocation
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Author : John Y. Campbell
language : en
Publisher: Clarendon Lectures in Economic
Release Date : 2002
Strategic Asset Allocation written by John Y. Campbell and has been published by Clarendon Lectures in Economic this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Asset allocation categories.
This volume provides a scientific foundation for the advice offered by financial planners to long-term investors. Based upon statistics on asset return behavior and assumed investor objectives, the authors derive optimal portfolio rules that investors can compare with existing rules of thumb.
Nonlinear Time Varying Risk Aversion And Strategic Optimal Portfolio Allocation
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Author :
language : en
Publisher:
Release Date : 2015
Nonlinear Time Varying Risk Aversion And Strategic Optimal Portfolio Allocation written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.