Related papers: Sovereign wealth funds: main activity trends
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timing lags between capital commitments, capital calls, and…
Given the surge in popularity of mutual funds (including exchange-traded funds (ETFs)) as a diversified financial investment, a vast variety of mutual funds from various investment management firms and diversification strategies have become…
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
In economic applications, model averaging has found principal use examining the validity of various theories related to observed heterogeneity in outcomes such as growth, development, and trade.Though often easy to articulate, these…
Portfolio managers often evaluate performance relative to benchmark, usually taken to be the Standard & Poor 500 stock index fund. This relative portfolio wealth is defined as the absolute portfolio wealth divided by wealth from investing…
We develop a general framework to analyze the distribution functions of wealth and income. Within this framework we study wealth distribution in a society by using a model which turns on two-party trading for poor people while for rich…
We consider a simple theoretical model to investigate the impact of inheritances on the wealth distribution. Wealth is described as a finite resource, which remains constant over different generations and is divided equally among offspring.…
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this paper deals with Target Date Funds (TDFs), which are a typical…
Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
The stability of income payments in a pooled annuity fund is studied. In those funds, members receive a fluctuating income depending on their experienced mortality in exchange for their pension savings. The focus is on describing the…
This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the…
Permissionless blockchains (e.g., Bitcoin, Ethereum, etc) have shown a wide success in implementing global scale peer-to-peer cryptocurrency systems. In such blockchains, new currency units are generated through the mining process and are…
In a previous paper, we applied a field formalism to analyze capital allocation and accumulation within a microeconomic framework of investors and firms. The financial connections were modeled by a field of stakes, representing the links…
A model based on first-degree family relations network is used to describe the wealth distribution in societies. The network structure is not a-priori introduced in the model, it is generated in parallel with the wealth values through…
This paper examines the risk-adjusted performance and differential fund flows for socially responsible mutual funds (SRMF). The results show that SRMF rated high on ESG, perform better than lower rated ESG funds during the period of…
In countries with a growing number of elderly and a shrinking workforce, one of which is Russia, it becomes impossible to maintain a solidary pension system and a need to switch to a more stable funded system appears. This paper analyzes…