Optimal Portfolios with Random Environments, Frictions and Incentives

Projektinformationen

PORTFOLIO

ID Finanzhilfevereinbarung: 248896

Abgeschlossenes Projekt

Startdatum 1 Januar 2010

Enddatum 31 Dezember 2013

Finanziert unter

• Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013)

Gesamtkosten € 100 000,00

EU-Beitrag € 100 000,00

Koordiniert durch

DUBLIN CITY UNIVERSITY
Ireland

Ziel

This project focuses on a class of portfolio choice problems arising in Mathematical Finance. These problems share a common relevance for financial applications, and lead to novel mathematical questions, mainly in the area of Stochastic Processes. Research is proposed on dynamic portfolio choice with: (i) Random Environments; (ii) Trading Frictions; and (iii) Incentive Fees. Random environments encompass those asset pricing models in which interest rates, risk premia, and covariances may depend on state variables. These model are important because recent empirical investigations show that variables such as the dividend yield, or earnings/price ratios drive expected returns, paving the way to multifactor models. Transaction costs lead to similar technical questions, although for conceptually different reasons. State variables arise in these models implicitly, through the notion of shadow prices. This partial isomorphism between market frictions and random environments suggests that transaction costs have an hidden potential as tools for explaining pricing anomalies. Incentive fees, traditionally neglected as minor imperfections, are now actively studied for their role in shaping the behavior of intermediaries. For example, high-water mark contracts, now prevalent in the hedge-fund industry, have ambiguous effects on fund managers. Understanding these effects is crucial for evaluating the potential consequences of regulation. In summary, the proposed problems share a common relevance, and similar technical features, which require novel mathematical tools. This project aims at developing these tools, and at bringing to life their implications.

Wissenschaftliches Gebiet

• social sciences › economics and business › economics › econometrics

Programm/Programme

• FP7-PEOPLE - Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013)

Thema/Themen

• FP7-PEOPLE-2009-RG - Marie Curie Action: "Reintegration Grants"

Aufforderung zur Vorschlagseinreichung

FP7-PEOPLE-2009-RG
Andere Projekte für diesen Aufruf anzeigen

Finanzierungsplan

MC-IRG - International Re-integration Grants (IRG)

Koordinator

DUBLIN CITY UNIVERSITY

Kontakt Verwaltung

Killard Fiona (Dr.)

• EU-Beitrag: € 100 000,00
• Adresse: Glasnevin ; 9 Dublin ; Irland
• Region: Ireland › Eastern and Midland › Dublin
• Aktivitätstyp: Higher or Secondary Education Establishments
• Gesamtkosten: Keine Daten