Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Download or read book Negative Monetary Policy Rates and Portfolio Rebalancing Evidence from Credit Register Data written by Margherita Bottero and published by International Monetary Fund. This book was released on 2019-02-28 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study negative interest rate policy (NIRP) exploiting ECB's NIRP introduction and administrative data from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply-- -and hence the real economy---through a portfolio rebalancing channel. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets, not with higher retail deposits. NIRP-affected banks rebalance their portfolios from liquid assets to credit—especially to riskier and smaller firms—and cut loan rates, inducing sizable real effects. By shifting the entire yield curve downwards, NIRP differs from rate cuts just above the ZLB.

Download or read book Redistributive Taxation in Dynamic General Equilibrium with Heterogeneous Agents written by Putz, Christian and published by University of Bamberg Press. This book was released on 2019 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand written by Mr.Jacob Gyntelberg and published by International Monetary Fund. This book was released on 2012-08-01 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present empirical evidence that the Thai baht’s value is driven in part by investors’ cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006. Higher returns in the stock market relative to a reference stock market are associated with net sales of equities by these investors and a depreciation of the Thai baht. Net purchases of Thai equities lead to an appreciation of the Thai baht. Foreign investors do not appear to hedge the foreign exchange risk related to their stock market positions.

Download or read book Rebalancing for Sustainable Growth written by Masahiro Kawai and published by Springer. This book was released on 2015-04-30 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Asian model of export-led growth served it well in the post-war period, but prolonged sluggish growth of the developed economies following the global financial crisis, together with growing inequality and rising environmental problems, point to the need for a new growth model. The purpose of this book is to describe the challenges facing Asian economies in the post-global financial crisis environment and to identify structural issues and policies that can help guide Asian policymakers to expand the growth potential of domestic and regional demand in coming years, and thereby create a basis for balanced, sustainable, and inclusive long-term growth. These issues and policies span a variety of dimensions, including macroeconomic policy (monetary, fiscal, and foreign currency management), real sector issues (trade and industrial structure), infrastructure development, labor market and social policy, financial sector reform and regulation, and regional cooperation and architecture. Key recommendations to achieve these goals include measures to: deepen social protection to support social resilience; increase infrastructure investment to create a “seamless Asia”; enhance productivity in the services sector; establish a region-wide free trade agreement to encourage intraregional trade in goods and services and investment through economies of scale and dynamic efficiency of a larger market; promote a shift to a low-carbon society and support green growth; and deepen and integrate financial markets to facilitate the recycling of Asia’s high savings for investment within the region.

Download or read book Central Bank Reserves and Sovereign Wealth Management written by A. Berkelaar and published by Springer. This book was released on 2009-12-09 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an edited collection of essential readings on Reserves Management and Sovereign Wealth Management, from the recent SAA conference organized by the Bank for International Settlements, the European Central Bank and the World Bank Treasury. It offers an exchange of views on technical and implemental issues of financial models.

Download or read book Portfolio Selection and Asset Pricing written by Shouyang Wang and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.

Download or read book Rebalancing the Global Economy written by Stijn Claessens and published by CEPR. This book was released on 2010-08 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this electronic book is to provide policymakers and their advisers with up-to-date, comprehensive analyses of the central facets of global economic imbalances and to identify and evaluate potential national and systemic responses to this challenge. To break down the many facets of this collective economic challenge, leading experts were asked to address one of the following policy-relevant questions. 1. How large are contemporary current account imbalances? Why do they persist? 2. What are the systemic costs of imbalances? 3. What are the lessons from previous attempts to rebalance the global economy? 4. What would rebalancing entail? Which policies must change? Is collective action needed? 5. What is the political viability of proposals to rebalance national economies? 6. Are new system-wide accords needed to promote rebalancing or to discourage persistent imbalances? www.voxeu.org/reports/global_imbalances.pdf

Download or read book Handbook of Computable General Equilibrium Modeling written by Peter B. Dixon and published by Newnes. This book was released on 2013-01-08 with total page 1886 pages. Available in PDF, EPUB and Kindle. Book excerpt: Top scholars synthesize and analyze scholarship on this widely used tool of policy analysis in 27 articles, setting forth its accomplishments, difficulties, and means of implementation. Though CGE modeling does not play a prominent role in top U.S. graduate schools, it is employed universally in the development of economic policy. This collection is particularly important because it presents a history of modeling applications and examines competing points of view. - Presents coherent summaries of CGE theories that inform major model types - Covers the construction of CGE databases, model solving, and computer-assisted interpretation of results - Shows how CGE modeling has made a contribution to economic policy

Download or read book Asset Management written by Andrew Ang and published by Oxford University Press. This book was released on 2014-07-07 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.

Download or read book Assets Beliefs and Equilibria in Economic Dynamics written by Charalambos D. Aliprantis and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 733 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of papers dealing with a broad range of topics in mathematical economics, game theory and economic dynamics. The contributions present both theoretical and applied research. The volume is dedicated to Mordecai Kurz. The papers were presented in a special symposium co-hosted by the Stanford University Department of Economics and by the Stanford Institute of Economic Policy Research in August 2002.

Download or read book The Evidence and Impact of Financial Globalization written by Gerard Caprio and published by Academic Press. This book was released on 2012-11-27 with total page 807 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sharp realities of financial globalization become clear during crises, when winners and losers emerge. Crises usher in short- and long-term changes to the status quo, and everyone agrees that learning from crises is a top priority. The Evidence and Impact of Financial Globalization devotes separate articles to specific crises, the conditions that cause them, and the longstanding arrangements devised to address them. While other books and journal articles treat these subjects in isolation, this volume presents a wide-ranging, consistent, yet varied specificity. Substantial, authoritative, and useful, these articles provide material unavailable elsewhere. Substantial articles by top scholars sets this volume apart from other information sources Rapidly developing subjects will interest readers well into the future Reader demand and lack of competitors underline the high value of these reference works

Download or read book Handbook of the Economics of Finance SET Volumes 2A 2B written by George M. Constantinides and published by Newnes. This book was released on 2013-01-21 with total page 1732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. - Covers core and newly-developing fields - Explains how the 2008 financial crises affected theoretical and empirical research - Exposes readers to a wide range of subjects described and analyzed by the best scholars

Download or read book Household Finance written by Richard Deaves and published by Oxford University Press. This book was released on 2024 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Household Finance: An Introduction to Individual Financial Behavior is about how individuals make financial decisions, and how these financial decisions contribute to and detract from their well-being. What sort of decisions am I talking about? We all must manage our money, shifting our resources across time. Sometimes we need to consume more than is currently available to us. For example, people commonly borrow to purchase residential real estate, paying down their mortgage loans over time. At other times, we have excess funds that we can save and invest. The main reason to accumulate wealth is to amass a fund that we can draw down when older and less able and willing to earn labor income. It is crucial, then, that our savings be sufficient to ensure a comfortable retirement. It is not enough to save; our savings must be invested appropriately so as to properly counterbalance risk and return. One way is to buy low-cost mutual funds or exchange-traded funds where the job of diversification is done for us. Some of us, however, purchase not only investment funds but also individual securities that we ourselves select. If so, it is vital that we avoid preventable errors. And, along the way, since the world is unpredictable, it is appropriate to protect ourselves by insuring against the sort of catastrophic loss that can derail our best-laid financial plans"--

Download or read book IMF Staff Papers Volume 53 No 3 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2006-12-15 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the final issue for 2006 (Volume 53), and contains another paper in the occasional Special Data Section that seeks to measure financial development in the Middle East and North Africa by utilizing a new database. The issue also contains a comment from Jacques J. Polak on parity reversion in real exchange rates.

Download or read book Overlapping Generations written by Stephen E. Spear and published by Emerald Group Publishing. This book was released on 2023-09-04 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 800 pound gorilla in the room of macroeconomics is the question of why the overlapping generations model didn’t become the central workhorse model for macroeconomics, as opposed to the neoclassical growth model. The authors here explore the co-evolution of the two models.

Download or read book Household Portfolios written by Luigi Guiso and published by MIT Press. This book was released on 2002 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical and empirical analysis of the structure of household portfolios.