– Objective: To “track” the return of the best possible constant percentage allocation of wealth (a.k.a. constant rebalanced portfolio (CRP)) chosen with knowledge of future asset returns – Algorithm: Return-weighted average of all CRPs – Main Assumptions: No statistical assumptions are made on asset returns; asymptotic analysis, however, requires several sequence-based assumptions on asset ret...

‎In this paper‎, ‎we consider the optimal asset control of a financial company which can control its liquid reserves by paying dividends and by issuing new equity‎. ‎We assume that the liquid surplus of the company in the absence of control is modeled by the diffusion model‎. ‎It is a hot topic to maximize the expected present value of dividends payout minus equity issuance until the time of ba...

We test the no-trade theorem in a laboratory financial market where subjects can trade an asset whose value is unknown. Subjects receive clues on the asset value and then set a bid and an ask at which they are willing to buy or to sell from the other participants. In treatments with no gains from trade, we should observe no trading activity, whereas, in treatments with gains, trade becomes theo...

This study presents two models of a financial market with CARA agents, binary signals as private information, noise traders and market-makers. In the first model, the fundamental value of the asset is related to the mass of agents able to participate in the market; in the second, the aggregate state defines both the fundamental value of the asset and the precision of private informations. In bo...

I have no problems with the first point. Frankel provides considerable empirical evidence to support his conclusion. It also makes theoretical sense that commodity prices may be negatively correlated with real interest rates. Commodity prices can to a large extent be seen as asset prices. Asset prices are discounted present values of expected future returns. A rise in the real interest rate red...

We study a financial model with one risk-free and one risky asset subject to liquidity risk and price impact. In this market, an investor may transfer funds between the two assets at any discrete time. Each purchase or sale policy decision affects the price of the risky asset and incurs some fixed transaction cost. The objective is to maximize the expected utility from terminal liquidation valu...

The latest industrial revolution is manifested by smart and networking equipment. Realizing the full value of these machineries, and other business assets, has become increasingly important. Strategic asset management faces managerial, technical as well as methodological challenges, of which some could be reduced or overcome by applying technological solutions such as Internet of things, cloud ...

Feedback effects from asset prices to firm cash flows have been empirically documented. This finding raises a question for asset pricing: How are asset prices determined if price affects fundamental value, which in turn affects price? In this environment, by buying assets that others are buying, investors ensure high future cash flows for the firm and subsequent high returns for themselves. Hen...

The efects of trading institutions on market eficiency and trading volume are examined. The trading institutions are computerized versions of continuous double auction and "clearinghouse" markets. Traders are experienced, profit-motivated undergraduates. The traded good is afinancial asset whose moneta y value is stateand trader type-contingent. Traders possess asymmetric private information on...

We study the exponential utility indifference value h for a contingent claim H in an incomplete market driven by two Brownian motions. The claim H depends on a nontradable asset variably correlated with the traded asset available for hedging. We provide an explicit sequence that converges to h, complementing the structural results for h known from the literature. Our study is based on a converg...