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1.
The mutual fund theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. The main results are:
Financial support from the Austrian Science Fund (FWF) under the grant P19456, from Vienna Science and Technology Fund (WWTF)
under Grant MA13 and by the Christian Doppler Research Association (CDG) is gratefully acknowledged by the first author. The
research of the second author was partially supported by the National Science Foundation under Grant DMS-0604643. 相似文献
(i) | Let N be the wealth process of the numéraire portfolio (i.e., the optimal portfolio for the log utility). If any path-independent option with maturity T written on the numéraire portfolio can be replicated by trading only in N and the risk-free asset, then the MFT holds true for general utility functions, and the numéraire portfolio may serve as mutual fund. This generalizes Merton’s classical result on Black–Merton–Scholes markets as well as the work of Chamberlain in the framework of Brownian filtrations (Chamberlain in Econometrica 56:1283–1300, 1988). Conversely, under a supplementary weak completeness assumption, we show that the validity of the MFT for general utility functions implies the replicability property for options on the numéraire portfolio described above. |
(ii) | If for a given class of utility functions (i.e., investors) the MFT holds true in all complete Brownian financial markets S, then all investors use the same utility function U, which must be of HARA type. This is a result in the spirit of the classical work by Cass and Stiglitz. |
2.
We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann–Morgenstern investor in the liquidity
model of Almgren (Appl. Math. Finance 10:1–18, 2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions
of nonlinear parabolic partial differential equations. We furthermore analyze the sensitivities of the value function and
the optimal strategy with respect to the various model parameters. In particular, we find that the optimal strategy is aggressive
or passive in-the-money, respectively, if and only if the utility function displays increasing or decreasing risk aversion.
Surprisingly, only few further monotonicity relations exist with respect to the other parameters. We point out in particular
that the speed by which the remaining asset position is sold can be decreasing in the size of the position but increasing
in the liquidity price impact.
相似文献
3.
This paper examines the association between conservatism and the value relevance of accounting information over the 1975 through
2004 period. We measure conservatism using approaches developed in Penman and Zhang, The Accounting Review 77:237–264, (2002) and Beaver and Ryan, Journal of Accounting Research 38:127–148, (2000) and value relevance using (1) adjusted R
2 from regressions of price on earnings and book values, (2) adjusted R
2 from regressions of returns on earnings and changes in earnings, and (3) returns earned by perfect foresight of earnings
and book values. We find no evidence that firms with increasing conservatism exhibit greater declines in value relevance.
Rather, we observe most significant declines in value relevance for firms where conservatism has not increased. When we adjust
financial statements for the effects of conservatism, we find that the value relevance of adjusted numbers is generally lower
and trends in value relevance unaffected. Based on these results, it is implausible that increasing conservatism drives the
decline in value relevance. 相似文献
4.
The numeraire portfolio, also called the optimal growth portfolio, allows simple derivations of the main results of financial theory. The prices of self financing portfolios, when the optimal growth portfolio is the numeraire, are martingales in the ‘true’ (historical) probability. Given the dynamics of the traded securities, the composition of the numeraire portfolio as well as its value are easily computable. Among its numerous properties, the numeraire portfolio is instantaneously mean variance efficient. This key feature allows a simple derivation of standard continuous time CAPM, CCAPM, APT and contingent claim pricing. Moreover, since the Radon-Nikodym derivatives of the usual martingale measures are very simple functions of the numeraire portfolio, the latter provides a convenient link between the standard Capital Market Theory a la Merton and the probabilistic approach a la Harrison-Kreps-Pliska. 相似文献
5.
Fabrice Barthélémy Jean-Luc Prigent 《The Journal of Real Estate Finance and Economics》2009,38(1):59-87
This paper examines the properties of optimal times to sell a diversified real estate portfolio. The portfolio value is supposed
to be the sum of the discounted free cash flows and the discounted terminal value (the discounted selling price). According
to Baroni et al. (Journal of Property Investment and Finance 25(6):603–625, 2007b), we assume that the terminal value corresponds to the real estate index. The optimization problem corresponds to the maximization
of a quasi-linear utility function. We consider three cases. The first one assumes that the investor knows the probability
distribution of the real estate index. However, at the initial time, he has to choose one deterministic optimal time to sell.
The second one considers an investor who is perfectly informed about the market dynamics. Whatever the random event that generates
the path, he knows the entire path from the beginning. Then, given the realization of the random variable, the path is deterministic
for this investor. Therefore, at the initial time, he can determine the optimal time to sell for each path of the index. Finally,
the last case is devoted to the analysis of the intertemporal optimization, based on the American option approach. We compute
the optimal solution for each of these three cases and compare their properties. The comparison is also made with the buy-and-hold
strategy.
相似文献
Jean-Luc PrigentEmail: |
6.
Bernd Scherer 《Financial Markets and Portfolio Management》2009,23(3):315-327
The current vast account surpluses of commodity-rich nations, combined with record account deficits in developed markets (the
United States, Britain) have created a new type of investor. Sovereign wealth funds (SWF) are instrumental in deciding how
these surpluses will be invested. We need to better understand the investment problem for an SWF in order to project future
investment flows. Extending Gintschel and Scherer (J. Asset Manag. 9(3):215–238, 2008), we apply the portfolio choice problem for a sovereign wealth fund in a Campbell and Viceira (Strategic Asset Allocation,
2002) strategic asset allocation framework. Changing the analysis from a one to a multi-period framework allows us to establish
a three-fund separation. We split the optimal portfolio for an SWF into speculative demand as well as hedge demand against
oil price shocks and shocks to the short-term risk-free rate. In addition, all terms now depend on the investor’s time horizon.
We show that oil-rich countries should hold bonds and that the optimal investment policy for an SWF as a long-term investor
is determined by long-run covariance matrices that differ from the correlation inputs that one-period (myopic) investors use.
相似文献
Bernd SchererEmail: |
7.
Shaun A. Bond Soosung Hwang Zhenguo Lin Kerry D. Vandell 《The Journal of Real Estate Finance and Economics》2007,34(4):447-461
The role of selling (or marketing) period uncertainty in understanding risk associated with property investment is examined
in this paper. Using an approach developed by Lin (2004), and Lin and Vandell (2001, 2005), combined with a statistical model of UK commercial property transactions, we show that the ex ante level of risk exposure
for a commercial real estate investor is around one and a half times that obtained from historical statistics. The risk related
to marketing time uncertainty can be reduced by constructing a portfolio. We find that at least ten properties are necessary
to reduce this risk, assuming independence between marketing period risk and price risk. These findings have important implications
for mixed-asset portfolio allocation decisions.
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8.
《Quantitative Finance》2013,13(3):336-345
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modelled as diffusions and the market is incomplete. We find an explicit solution for the case of limited diversification of the portfolio, i.e. for the portfolio compression problem. By this we mean that any admissible strategy may include no more than m different stocks concurrently, where m may be less than the total number n of available stocks. 相似文献
9.
For financial risk management it is of vital interest to have good estimates for the correlations between the stocks. It has been found that the correlations obtained from historical data are covered by a considerable amount of noise, which leads to a substantial error in the estimation of the portfolio risk. A method to suppress this noise is power mapping. It raises the absolute value of each matrix element to a power q while preserving the sign. In this paper we use the Markowitz portfolio optimization as a criterion for the optimal value of q and find a K/T dependence, where K is the portfolio size and T the length of the time series. Both in numerical simulations and for real market data we find that power mapping leads to portfolios with considerably reduced risk. It compares well with another noise reduction method based on spectral filtering. A combination of both methods yields the best results. 相似文献
10.
Jeong-Bon Kim Roland Lipka Heibatollah Sami 《Review of Quantitative Finance and Accounting》2012,38(1):87-107
Measures of economic performance, such as accounting earnings, working capital and cash flows, have been evaluated in tests
of relative explanatory power of regressions of market returns on earnings, working capital and cash flows. We employ a different
test. Using Basu’s (J Finance 663–682, 1977) investment trading strategy, we measure portfolio returns based on these three accounting measures of earnings. The objective
is to ascertain whether investment performance also supports the findings of the explanatory power studies that accounting
earnings is the premier measure of performance. The evidence does not support this conclusion. Our findings are at variance
with prior conclusions that accounting earnings is more useful than cash flow. The Basu trading strategy is effective for
all three measures. Excess market returns are observed for all three measures, even when controlled for risk and for low priced
stocks. But accounting earnings portfolios do not dominate working capital or cash flow portfolios. In fact, the raw returns
to cash flow portfolios are marginally (statistically) larger than accounting earnings portfolios. Economically, a dollar
invested in a portfolio using accounting earnings to select the stock would have an accumulated value of 22.73 while the same dollar investment using cash flow instead of accounting earnings would accumulate a value of22.73 while the
same dollar investment using cash flow instead of accounting earnings would accumulate a value of 33.94 over the same 16 years
starting with the second quarter of 1988 and concluding at the end of the first quarter of 2004. Thus, our results have implications
for the studies of explanatory power of different measures of earnings and their comparison in the US and other markets. 相似文献
11.
Yukihiro Nishimura 《International Tax and Public Finance》2009,16(2):176-197
This paper extends the analysis of optimal income taxation under uncertainty studied by Cremer and Pestieau (International Tax and Public Finance, 3, 281–295, 1996). We introduce asymmetric information in the insurance market whereby private insurance companies cannot identify the risk
probability of the agents, and we examine its effect on public policy. We consider the separating equilibrium of Rothschild
and Stiglitz (Quarterly Journal of Economics, 90, 629–649, 1976) and Riley (Econometrica, 47, 331–359, 1979) where the low risk agent is only partially insured. The presence of the distortion in the insurance market changes the affinity
of labor, and in some cases, we show that the scope of redistribution and the resulting social welfare are higher under asymmetric
information than under full information. We also show that the increase in social insurance affects the utility and labor
incentive of the low risk type by relaxing the self-selection constraint in the insurance market. The policy implications
of the redistributive taxation and social insurance are analytically and numerically examined.
相似文献
12.
Masanobu Taniguchi Alexandre Petkovic Takehiro Kase Thomas DiCiccio Anna Clara Monti 《European Journal of Finance》2015,21(13-14):1091-1112
In this paper, we study issues related to the optimal portfolio estimators and the local asymptotic normality (LAN) of the return process under the assumption that the return process has an infinite moving average (MA) (∞) representation with skew-normal innovations. The paper consists of two parts. In the first part, we discuss the influence of the skewness parameter δ of the skew-normal distribution on the optimal portfolio estimators. Based on the asymptotic distribution of the portfolio estimator ? for a non-Gaussian dependent return process, we evaluate the influence of δ on the asymptotic variance V(δ) of ?. We also investigate the robustness of the estimators of a standard optimal portfolio via numerical computations. In the second part of the paper, we assume that the MA coefficients and the mean vector of the return process depend on a lower-dimensional set of parameters. Based on this assumption, we discuss the LAN property of the return's distribution when the innovations follow a skew-normal law. The influence of δ on the central sequence of LAN is evaluated both theoretically and numerically. 相似文献
13.
14.
In this paper, we propose a theory for deriving the optimal portfolio that assures the log-utility investors of maximizing their expected utility. Restricting investors' information at defined levels, we propose the sample path-wise optimal portfolio (SPOP), which is consistent with the back-test framework used in actualinvestment. It is proven that, at any finite terminal time, this SPOP is asymptotically optimal among all the portfolios which are predictable under investors' incompleteinformation. The optimality is guaranteed by the continuous Bayesian updating formula. Finally, we discuss an algorithm for searching the SPOP, based on asset prices at discrete time intervals. 相似文献
15.
N. Naguez 《Quantitative Finance》2017,17(7):1037-1055
Many empirical studies have shown that financial asset returns do not always exhibit Gaussian distributions, for example hedge fund returns. The introduction of the family of Johnson distributions allows a better fit to empirical financial data. Additionally, this class can be extended to a quite general family of distributions by considering all possible regular transformations of the standard Gaussian distribution. In this framework, we consider the portfolio optimal positioning problem, which has been first addressed by Brennan and Solanki [J. Financial Quant. Anal., 1981, 16, 279–300], Leland [J. Finance, 1980, 35, 581–594] and further developed by Carr and Madan [Quant. Finance, 2001, 1, 9–37] and Prigent [Generalized option based portfolio insurance. Working Paper, THEMA, University of Cergy-Pontoise, 2006]. As a by-product, we introduce the notion of Johnson stochastic processes. We determine and analyse the optimal portfolio for log return having Johnson distributions. The solution is characterized for arbitrary utility functions and illustrated in particular for a CRRA utility. Our findings show how the profiles of financial structured products must be selected when taking account of non Gaussian log-returns. 相似文献
16.
In a continuous-time framework, the issue of how to delegate an investor’s portfolio decision to a portfolio manager is studied.
First, we solve the first-best problem. For the second-best case, a specific quadratic contract is introduced resolving the
agency conflict completely in the sense that the solutions to the first-best and second-best problems coincide. This contract
can be implemented if the investor is able to observe the value of the growth optimal portfolio at her investment horizon.
If the investment opportunity set is assumed to be constant, in equilibrium the value of the market portfolio is a sufficient
statistic for the value of the growth optimal portfolio. Throughout the paper, we assume that the investor and the manager
have homogeneous expectations about the investment opportunity set. This, however, does not necessarily mean that investor
and manager are symmetrically informed about all prices.
相似文献
Ralf KornEmail: |
17.
Under a correlation constraint the optimal constant/fixed-mix portfolio consists of the market portfolio, the riskless bond and the benchmark 相似文献
18.
We consider an optimal investment and consumption problem for a Black–Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA utility functions. The dynamic programming approach leads to an investigation of the Hamilton–Jacobi–Bellman (HJB) equation which is a highly nonlinear partial differential equation (PDE) of the second order. By using the Feynman–Kac representation, we prove uniqueness and smoothness of the solution. Moreover, we study the optimal convergence rate of iterative numerical schemes for both the value function and the optimal portfolio. We show that in this case, the optimal convergence rate is super-geometric, i.e., more rapid than any geometric one. We apply our results to a stochastic volatility financial market. 相似文献
19.
We characterize the compensation demanded by investors in equilibrium for incremental exposure to growth-rate risk. Given
an underlying Markov diffusion that governs the state variables in the economy, the economic model implies a stochastic discount
factor process S. We also consider a reference growth process G that may represent the growth in the payoff of a single asset or of the macroeconomy. Both S and G are modeled conveniently as multiplicative functionals of a multidimensional Brownian motion. We consider the pricing implications
of parametrized family of growth processes G
ε
, with G
0=G, as ε is made small. This parametrization defines a direction of growth-rate risk exposure that is priced using the stochastic
discount factor S. By changing the investment horizon, we trace a term structure of risk prices that shows how the valuation of risky cash flows depends on the investment horizon. Using methods of Hansen
and Scheinkman (Econometrica 77:177–234, 2009), we characterize the limiting behavior of the risk prices as the investment horizon is made arbitrarily long. 相似文献
20.
Cheng-few Lee Keshab Shrestha Robert L. Welch 《Review of Quantitative Finance and Accounting》2007,28(2):163-185
In this paper, we derive an equilibrium relationship between the yields on Eurodollar and Treasury bills based on equivalent martingale results derived by Harrison and Kreps (1979) and Harrison and Pliska (1981, 1983) as well as the corporate debt pricing model developed by Merton (1974). The derived equilibrium relationship incorporates the models used by Booth and Tse (1995) and Shrestha and Welch (2001) as special cases. The equilibrium relationship indicates that the conditional volatility of the yield on Eurodollars explains the variation in the TED spread.
We empirically test the equilibrium relationship using a GARCH-M model and the concept of fractional cointegration. We use
both the ex ante data implied by the respective futures contracts as well as the ex post spot data with daily, weekly and monthly frequencies. We find empirical support for the Equilibrium relationship.
相似文献
Robert L. WelchEmail: |