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Constrained-Efficient Capital Reallocation 约束-有效资本再配置
ERN: Incomplete Markets (Topic) Pub Date : 2021-01-01 DOI: 10.2139/ssrn.3768766
Andrea Lanteri, A. Rampini
{"title":"Constrained-Efficient Capital Reallocation","authors":"Andrea Lanteri, A. Rampini","doi":"10.2139/ssrn.3768766","DOIUrl":"https://doi.org/10.2139/ssrn.3768766","url":null,"abstract":"We characterize efficiency in an equilibrium model of investment and capital reallocation with heterogeneous firms facing collateral constraints. The model features two types of pecuniary externalities: collateral externalities, because the resale price of capital affects collateral constraints, and distributive externalities, because buyers of old capital are more financially constrained than sellers, consistent with empirical evidence. We prove that the stationary equilibrium price of old capital is inefficiently high because the distributive externality exceeds the collateral externality, by a factor of two when we calibrate the model. New investment reduces the future price of old capital, providing a rationale for new-investment subsidies. (JEL D21, D24, D25, D62, E22, G31, G32)","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"142 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116109723","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit 不完全市场中的有限代理均衡及其对平均场极限的强收敛性
ERN: Incomplete Markets (Topic) Pub Date : 2020-10-19 DOI: 10.2139/ssrn.3714430
M. Fujii, Akihiko Takahashi
{"title":"A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit","authors":"M. Fujii, Akihiko Takahashi","doi":"10.2139/ssrn.3714430","DOIUrl":"https://doi.org/10.2139/ssrn.3714430","url":null,"abstract":"We investigate the problem of equilibrium price formation in an incomplete securities market. Each financial firm (agent) tries to minimize its cost via continuous-time trading with a securities exchange while facing the systemic and idiosyncratic noises as well as the stochastic order-flows from its over-the-counter clients. We have shown, in the accompanying paper (Fujii-Takahashi (2020)), that the solution to a certain forward backward stochastic differential equation of conditional McKean-Vlasov type gives a good approximate of the equilibrium price which clears the market in the large population limit. In this work, we prove the existence of a unique market clearing equilibrium among the heterogeneous agents of finite population size. We show the strong convergence to the corresponding mean-field limit under suitable conditions. In particular, we provide the stability relation between the market clearing price for the heterogeneous agents and that for the homogeneous mean-field limit.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115417128","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Ambiguity, Macro Factors, and Stock Return Volatility 模糊性、宏观因素和股票收益波动
ERN: Incomplete Markets (Topic) Pub Date : 2016-12-05 DOI: 10.2139/ssrn.2880963
Lening Kang, Hwagyun Kim
{"title":"Ambiguity, Macro Factors, and Stock Return Volatility","authors":"Lening Kang, Hwagyun Kim","doi":"10.2139/ssrn.2880963","DOIUrl":"https://doi.org/10.2139/ssrn.2880963","url":null,"abstract":"Recent studies find stock returns are negatively related to idiosyncratic volatility (IVOL). We find that aggregate variables known to explain stock market volatility affect the IVOL and portfolio returns sorted by IVOL. Macroeconomic volatilities, yield spreads, dividend yield, trading volume and common factors of earnings forecast dispersions are important drivers of IVOL. Macro factors produce the negative pattern, consistent with theories of intertemporal hedging demand. Teasing out the common IVOL part, the residual IVOL is positively and significantly related to stock returns and the idiosyncratic portions of earnings forecast dispersions. This is consistent with ambiguity aversion and incomplete market hypotheses.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117211740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Variance Minimizing Strategies for Stochastic Processes with Applications to Tracking Stock Indices 随机过程方差最小化策略及其在股票指数跟踪中的应用
ERN: Incomplete Markets (Topic) Pub Date : 2016-08-19 DOI: 10.2139/ssrn.2738338
David B. Colwell, N. El-Hassan, Oh Kang Kwon
{"title":"Variance Minimizing Strategies for Stochastic Processes with Applications to Tracking Stock Indices","authors":"David B. Colwell, N. El-Hassan, Oh Kang Kwon","doi":"10.2139/ssrn.2738338","DOIUrl":"https://doi.org/10.2139/ssrn.2738338","url":null,"abstract":"This paper extends the notion of variance optimal hedging of contingent claims under the incomplete market setting to the hedging of entire processes, and applies the results to the problem of tracking stock indices. Sufficient conditions under which this is possible are given, along with the corresponding variance optimal strategy in feedback form as given in Schweizer (1996) and Pham, Rheinlander, and Schweizer (1998) for contingent claims. The performances of tracking error variance minimizing, locally risk minimizing, and variance minimizing strategies in tracking stock indices are investigated using both simulated and historical market data.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125042253","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Collateralization, Market Incompleteness and Asset Overvaluation 抵押、市场不完备性与资产高估
ERN: Incomplete Markets (Topic) Pub Date : 2016-04-26 DOI: 10.2139/ssrn.2722433
James Dow, Jungsuk Han
{"title":"Collateralization, Market Incompleteness and Asset Overvaluation","authors":"James Dow, Jungsuk Han","doi":"10.2139/ssrn.2722433","DOIUrl":"https://doi.org/10.2139/ssrn.2722433","url":null,"abstract":"We study a simple static economy with collateralized loan contracts and an incomplete asset market. We study whether economic forces operate to keep asset price equal to fundamentals in this economy. We find that asset prices may be higher than the valuation of any agent in the economy, i.e., the price of an asset is higher than the present value of its cash flows. Such overvaluation may arise from risk sharing activities simply due to market incompleteness, and does not require any other extra conditions such as heterogeneous beliefs or informational frictions.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131903299","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Private Information and Business Cycle Risk Sharing 私人信息与商业周期风险分担
ERN: Incomplete Markets (Topic) Pub Date : 2016-01-12 DOI: 10.2139/ssrn.2821754
A. Duncan
{"title":"Private Information and Business Cycle Risk Sharing","authors":"A. Duncan","doi":"10.2139/ssrn.2821754","DOIUrl":"https://doi.org/10.2139/ssrn.2821754","url":null,"abstract":"When individuals have private information about their own luck and in- come, the sharing of idiosyncratic risks is hampered by moral hazard. This friction also affects the optimal sharing of business cycle risks. Optimal allocations restrict the exposure of low wealth agents’ consumption to business cycle risk. This encourages truth-telling by high wealth agents who have a high tolerance for business cycle risk, thereby increasing the extent to which idiosyncratic risks can be shared. Implementation of these optimal allocations requires restrictions in the trade of securities contingent on business cycle outcomes.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115948140","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models Via Ergodic and Infinite Horizon BSDE 用遍历和无限视界BSDE表示随机因子模型中的同构正演过程
ERN: Incomplete Markets (Topic) Pub Date : 2015-11-16 DOI: 10.2139/ssrn.2870445
Gechun Liang, T. Zariphopoulou
{"title":"Representation of Homothetic Forward Performance Processes in Stochastic Factor Models Via Ergodic and Infinite Horizon BSDE","authors":"Gechun Liang, T. Zariphopoulou","doi":"10.2139/ssrn.2870445","DOIUrl":"https://doi.org/10.2139/ssrn.2870445","url":null,"abstract":"In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic (power, exponential, and logarithmic) forward performance processes in factor-form using ergodic BSDE. We also develop a connection between the forward processes and infinite horizon BSDE, and, moreover, with risk-sensitive optimization. In addition, we develop a connection, for large time horizons, with a family of classical homothetic value function processes with random endowments.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"218 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131576833","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 28
Unique Equilibrium in the Eaton-Gersovitz Model of Sovereign Debt 主权债务Eaton-Gersovitz模型的唯一均衡
ERN: Incomplete Markets (Topic) Pub Date : 2015-10-01 DOI: 10.2139/ssrn.2470676
Adrien Auclert, M. Rognlie
{"title":"Unique Equilibrium in the Eaton-Gersovitz Model of Sovereign Debt","authors":"Adrien Auclert, M. Rognlie","doi":"10.2139/ssrn.2470676","DOIUrl":"https://doi.org/10.2139/ssrn.2470676","url":null,"abstract":"A common view of sovereign debt markets is that they are prone to multiple equilibria. We prove that, to the contrary, Markov perfect equilibrium is unique in the widely studied model of Eaton and Gersovitz (1981), and we discuss multiple extensions and limitations of this finding. Our results show that no improvement in a borrower׳s reputation for repayment can be self-sustaining, thereby strengthening the Bulow and Rogoff (1989) argument that debt cannot be sustained by reputation alone.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131568027","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 55
Duesenberry Equilibrium and Heterogenous Agents 杜森贝里平衡和多相剂
ERN: Incomplete Markets (Topic) Pub Date : 2015-08-24 DOI: 10.2139/ssrn.2580626
Jaime A. Londoño
{"title":"Duesenberry Equilibrium and Heterogenous Agents","authors":"Jaime A. Londoño","doi":"10.2139/ssrn.2580626","DOIUrl":"https://doi.org/10.2139/ssrn.2580626","url":null,"abstract":"We define an inter-temporal Duesemberry Equilibrium where agents are rational agents that optimize their consumption and investment decisions with respect to the relative incomes of their peers (relative income hypothesis). We characterize these markets, provide existence and uniqueness when a sufficient weak condition is met, and develop some simple examples. We propose and solve a maximization problem by every agent to choose their optimal consumption and portfolios. The solution achieved maximize the relative well-being with respect to other members of society and A posteriori the optimization problem maximize the satisfaction on the relative magnitude of consumption in society. The theoretical framework used is a generalization of markets when the processes are Brownian Flows on Manifolds.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125800661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality 指数效用的不完全随机均衡:接近帕累托最优
ERN: Incomplete Markets (Topic) Pub Date : 2015-05-28 DOI: 10.2139/ssrn.2611557
C. Kardaras, Hao Xing, Gordan Zitkovic
{"title":"Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality","authors":"C. Kardaras, Hao Xing, Gordan Zitkovic","doi":"10.2139/ssrn.2611557","DOIUrl":"https://doi.org/10.2139/ssrn.2611557","url":null,"abstract":"We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model. An assumption of \"smallness'' type - imposed through the new notion of \"closeness to Pareto optimality'' - is shown to be sufficient for existence and uniqueness. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123068492","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 44
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