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Università della Svizzera italiana

Equilibrium asset pricing with time-varying pessimism

Sbuelz, Alessandro ; Trojani, Fabio

We present a flexible analytical framework that incorporates the equilibrium impact of a (possibly state dependent) sentiment for pessimism in continuous time intertemporal asset pricing. State dependent pessimism comes from a state dependent confidence in the reference belief on equity returns dynamics and implies conservative optimal policies precisely in states where such confidence is low. In...

Università della Svizzera italiana

A geometric approach to multiperiod mean variance optimization of assets and liabilities

Leippold, Markus ; Trojani, Fabio ; Vanini, Paolo

We present a geometric approach to discrete time multiperiod mean variance portfolio optimization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decomposed in an orthogonal set of basis strategies, each having a clear economic interpretation. This implies that the...

22 results 1 2 3