Zobrazeno 1 - 10
of 196
pro vyhledávání: '"Paul Glasserman"'
Autor:
Xingbo Xu, Paul Glasserman
Publikováno v:
Stochastic Systems, Vol 1, Iss 1, Pp 109-145 (2011)
We analyze the error between a discretely rebalanced portfolio and its continuously rebalanced counterpart in the presence of jumps or mean-reversion in the underlying asset dynamics. With discrete rebalancing, the portfolio’s composition is restor
Externí odkaz:
https://doaj.org/article/1bfdb4056c4b4a1c86aa996ce6d52c43
Autor:
Paul Glasserman, Dan Pirjol
Publikováno v:
Quantitative Finance. 23:557-577
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7e5e954413dbe367d766e93099506201
https://doi.org/10.1080/14697688.2023.2165448
https://doi.org/10.1080/14697688.2023.2165448
Autor:
Paul Glasserman, Harry Mamaysky
Publikováno v:
The Review of Asset Pricing Studies. 13:1-52
We develop a model of information and portfolio choice in which ex ante identical investors choose to specialize because of fixed attention costs required in learning about securities. Without this friction, investors would invest in all securities a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::80e0b69b63d557250b6dbd7ac2bf2b2b
https://doi.org/10.1093/rapstu/raac009
https://doi.org/10.1093/rapstu/raac009
Publikováno v:
Annual Review of Financial Economics. 15
Open-end mutual funds offer investors same-day liquidity while holding assets that in some cases take several days to sell. This liquidity transformation creates a potentially destabilizing first-mover advantage: When asset prices fall, investors who
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dfa816ff9f852ed31845647e50241790
https://doi.org/10.1146/annurev-financial-110921-100843
https://doi.org/10.1146/annurev-financial-110921-100843
Publikováno v:
Operations Research.
The problem of simulating graphs (networks) subject to constraints has been studied extensively across several areas. Applications of this problem include modeling inter-bank financial networks, predator-prey ecological graphs, contingency tables, an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f90036722e37746aa018ccb8098ee7ca
https://doi.org/10.1287/opre.2022.2323
https://doi.org/10.1287/opre.2022.2323
Publikováno v:
Management Science. 66:3581-3602
We develop a model of the feedback between mutual fund outflows and asset illiquidity. Following a market shock, alert investors anticipate the impact on a fund’s net asset value (NAV) of other investors’ redemptions and exit first at favorable p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ba8fc44cfada58d26b759a75dabeacc4
https://doi.org/10.1287/mnsc.2019.3353
https://doi.org/10.1287/mnsc.2019.3353
This paper studies the spread of losses and defaults in financial networks with two interrelated features: collateral requirements and alternative contract termination rules. When collateral is committed to a firm’s counterparties, a solvent firm m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6bafb73442daa83c03398958c586a5ca
http://eprints.lse.ac.uk/107496/
http://eprints.lse.ac.uk/107496/
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c55dc5162080e3ffe96d57cf8871d453
https://doi.org/10.2139/ssrn.4270464
https://doi.org/10.2139/ssrn.4270464
Autor:
Paul Glasserman
Publikováno v:
Advances in Modeling and Simulation ISBN: 9783031101922
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::27f1c9afca6597c64c1b156bc09f8774
https://doi.org/10.1007/978-3-031-10193-9_10
https://doi.org/10.1007/978-3-031-10193-9_10
Autor:
Paul Glasserman, Dan Pirjol
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::09ca4279ed3147a3e0c70140cb3113ac
https://doi.org/10.2139/ssrn.4283971
https://doi.org/10.2139/ssrn.4283971