منابع مشابه
The appeal of risky assets
A fund’s performance is usually compared to the performance of an index or other funds. If a fund trails the benchmark, the fund manager is often replaced. We argue that this may lead to excessive risk-taking if fund managers differ in ability and have the opportunity to take excessive risk. To match the benchmark, fund managers may increase the risk of their portfolio even if this decreases th...
متن کاملFlexibility and the Demand for Risky Assets
To a decisionmaker facing a choice over a set of risky prospects the issue of ‘flexibility’, i.e., the ability to postpone other decisions until after the uncertainty is resolved, is a crucial one. Tisdell (1963) for example, has shown that the well known ‘preference’ of a risk neutral firm for random over constant prices (with the same mean) reduces to indifference when it is assumed that the ...
متن کاملOptimal Investment Strategy for Risky Assets
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor’s capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and ...
متن کاملOn User Costs of Risky Monetary Assets
We extend the monetary-asset user-cost risk adjustment of Barnett, Liu, and Jensen (1997) and their risk-adjusted Divisia monetary aggregates to the case of multiple non-monetary assets and intertemporal non-separability. Our model can generate potentially larger and more accurate CCAPM user-cost risk adjustments than those found in Barnett, Liu, and Jensen (1997). We show that the risk adjustm...
متن کاملBargaining over Incentive Contracts
Standard contract theory assumes that the principal holds all of the bargaining power. By implementing alternating o¤er and strategic delay, we transform the one-shot contracts design game into the in nite-horizon contracts bargaining game. The uninformed principal and the informed agent bargain over multiple dimensions. Our paper presents the following new results. When the di¤erence between t...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.293394