Now showing items 21-24 of 24
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
(Cambridge University PressWiley Periodicals, Inc., 2021-01)
We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small nonlinear price impact. In our model, cross‐impacts between assets are allowed. In the ...
Cryptocurrencies: Stylized facts on a new investible instrument
(American Bar AssociationWiley Periodicals, Inc., 2019-12)
We present stylized facts on the asset pricing properties of cryptocurrencies: summary statistics on cryptocurrency return properties and measures of common variation for secondary market returns on 222 digital coins. In ...
Equilibrium concepts for time‐inconsistent stopping problems in continuous time
(University of British ColumbiaWiley Periodicals, Inc., 2021-01)
A new notion of equilibrium, which we call strong equilibrium, is introduced for time‐inconsistent stopping problems in continuous time. Compared to the existing notions introduced in Huang, Y.‐J., & Nguyen‐Huu, A. (2018, ...
Industry tournament incentives and corporate hedging policies
(Wiley Periodicals, Inc., 2022-06)
This paper examines how a tournament among CEOs to progress within the CEO labor market influences their corporate hedging policies. We employ a textual analysis of 10-Ks to generate corporate hedging proxies, finding that ...