Zobrazeno 1 - 10
of 59
pro vyhledávání: '"Philip H. Dybvig"'
Publikováno v:
Annual Review of Financial Economics. 13:1-14
Stephen A. Ross was one of the most influential scholars in the field of financial economics in the late twentieth century. Ross's work was central to several novel domains of economic inquiry. His contributions included the arbitrage pricing theory
Autor:
Philip H. Dybvig
Publikováno v:
The Journal of Portfolio Management. 44:35-41
Stephen A. Ross may be best known in finance for his work on asset pricing, but he is also the first person in economics or finance to study agency theory as a theory of incentive contracting, as for a portfolio manager or the CEO or other employee o
Autor:
Philip H. Dybvig, Fang Liu
Publikováno v:
Journal of Economic Theory. 174:224-260
We extend Cass and Stiglitz's analysis of preference-based mutual fund separation. We provide a complete characterization of the general K-fund separation. We show that some instances of separation with many funds can be constructed by adding inverse
Autor:
Philip H. Dybvig, Nina Baranchuk
Publikováno v:
Economics Letters. 135:15-18
Accepting a contract with a high performance sensitivity is normally interpreted as a signal of high ability. However, a high self-assessment may be an incompetent forecast by an incompetent worker. In a model where optimistic agents have low ability
Autor:
Philip H. Dybvig, Huacheng Zhang
Publikováno v:
SSRN Electronic Journal.
Campbell and Shiller’s “accounting identity” implies that the log dividend-price ratio (LDPR) predicts either returns or dividend growths, but neither is significantly predictable, a well-known puzzle. Existence of the long-term mean LDPR is an
Autor:
Yajun Wang, Philip H. Dybvig
Publikováno v:
Journal of Economic Theory. 147:1222-1246
Oliver Hart proved the impossibility of deriving general comparative static properties in portfolio weights. Instead, we derive new comparative statics for the distribution of payoffs: A is less risk averse than B iff Aʼs payoff is always distribute
Autor:
Philip H. Dybvig, Hong Liu
Publikováno v:
Mathematics of Operations Research. 36:620-635
Proving verification theorems can be tricky for models with both optimal stopping and state constraints. We pose and solve two alternative models of optimal consumption and investment with an optimal retirement date (optimal stopping) and various wea
Autor:
Philip H. Dybvig, Hong Liu
Publikováno v:
Journal of Economic Theory. 145:885-907
Retirement flexibility and inability to borrow against future labor income can significantly affect optimal consumption and investment. With voluntary retirement, there exists an optimal wealth-to-wage ratio threshold for retirement and human capital
Publikováno v:
Review of Financial Studies. 23:1-23
The evaluation and compensation of portfolio managers is an important problem for practitioners. Optimal compensation will induce managers to expend effort to generate information and to use it appropriately in an informed portfolio choice. Our gener