Moral Hazard, portfolio allocation, and asset returns for thrift institutions

1992 ◽  
Vol 5 (4) ◽  
pp. 315-339 ◽  
Author(s):  
Joseph A. Mckenzie ◽  
Rebel A. Cole ◽  
Richard A. Brown
Keyword(s):  
Moral Hazard ◽  
Asset Returns ◽  
Portfolio Allocation

scholarly journals Bank Leverage Cycles

2017 ◽  
Vol 9 (2) ◽  
pp. 32-72 ◽  
Author(s):  
Galo Nuño ◽  
Carlos Thomas
Keyword(s):  
Financial Crisis ◽  
Moral Hazard ◽  
General Equilibrium ◽  
Economic Activity ◽  
Asset Returns ◽  
Financial Intermediaries ◽  
Risk Shifting ◽  
Short Term ◽  
Risky Debt

We propose a general equilibrium framework with financial intermediaries subject to endogenous leverage constraints, and assess its ability to explain the observed fluctuations in intermediary leverage and real economic activity. In the model, intermediaries (“banks”) borrow in the form of short-term risky debt. The presence of risk-shifting moral hazard gives rise to a leverage constraint, and creates a link between the volatility in bank asset returns and leverage. Unlike TFP or capital quality shocks, volatility shocks produce empirically plausible fluctuations in bank leverage. The model replicates well the fall in leverage, assets, and GDP during the 2007–2009 financial crisis. (JEL D82, E44, G01, G21, G32)

scholarly journals Gestão Descentralizada de Carteiras

2003 ◽  
Vol 1 (2) ◽  
pp. 243
Author(s):  
Paulo Coutinho ◽  
Benjamin Miranda Tabak
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Portfolio Management ◽  
Asset Returns ◽  
Portfolio Allocation ◽  
Multivariate Normal ◽  
Variance Model ◽  
Negative Exponential Function ◽  
Negative Exponential ◽  
Mean Variance

We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in <i>n</i> different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal decentralized allocation should be different from the centralized case. In this paper we derive conditions for the solutions to be equivalent. We use multivariate normal returns and a negative exponential function to solve the problem analytically. We generate the equivalence of solutions by assuming that different traders face different interest rates for borrowing and lending. This interest rate is dependent on the ratio of the degrees of risk aversion of the trader and the head trader, on the excess return, and on the correlation between asset returns.

scholarly journals Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations

2021 ◽  
pp. 102475
Author(s):  
Anders D. Sleire ◽  
Bård Støve ◽  
Håkon Otneim ◽  
Geir Drage Berentsen ◽  
Dag Tjøstheim ◽  
...  
Keyword(s):  
Asset Returns ◽  
Portfolio Allocation ◽  
Asymmetric Dependence

A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT

2000 ◽  
Vol 03 (04) ◽  
pp. 617-639 ◽  
Author(s):  
L. GARDIOL ◽  
R. GIBSON ◽  
P.-A. BARES ◽  
R. CONT ◽  
S. GYGER
Keyword(s):  
Portfolio Management ◽  
Large Deviation ◽  
Asset Returns ◽  
Portfolio Allocation ◽  
Investment Horizon ◽  
Financial Assets ◽  
Large Deviations Theory ◽  
The Mean ◽  
Mean Variance ◽  
New Framework

We propose a new framework to measure the risk of a single asset and of a portfolio of financial assets which takes the agent's investment horizon into account. The methodology is based on the moderate and large deviations theory in its simplest form. We show how it can be used to select optimal portfolios given investors' planning horizons and preferences for fatter right or left tails. For practical purposes, we introduce a new parameter, the "dilation exponent" α to characterize asset returns' distributions beyond the information contained in the mean-variance framework. We estimate α for Swiss individual stocks and for MSCI country and sector stock market indices. Finally, we show how to use the dilation exponent in conjunction with Sharpe's ratio for portfolio allocation purposes.

scholarly journals Mixed-asset portfolio allocation under mean-reverting asset returns

2018 ◽  
Vol 281 (1-2) ◽  
pp. 65-98
Author(s):  
Charles-Olivier Amédée-Manesme ◽  
Fabrice Barthélémy ◽  
Philippe Bertrand ◽  
Jean-Luc Prigent
Keyword(s):  
Asset Returns ◽  
Portfolio Allocation ◽  
Asset Portfolio

AGENCY PROBLEM DALAM PENERAPAN PEMBIAYAAN AKAD MUDHARABAH PADA PERBANKAN SYARIAH

ALQALAM ◽  
2016 ◽  
Vol 33 (1) ◽  
pp. 46
Author(s):  
Aswadi Lubis
Keyword(s):  
High Risk ◽  
Asymmetric Information ◽  
Human Resources ◽  
Moral Hazard ◽  
Adverse Selection ◽  
Agency Problem ◽  
Agency Problems ◽  
Islamic Banking ◽  
The Public

The purpose of writing this article is to describe the agency problems that arise in the application of the financing with mudharabah on Islamic banking. In this article the author describes the use of the theory of financing, asymetri information, agency problems inside of financing. The conclusion of this article is that the financing is asymmetric information problems will arise, both adverse selection and moral hazard. The high risk of prospective managers (mudharib) for their moral hazard and lack of readiness of human resources in Islamic banking is among the factors that make the composition of the distribution of funds to the public more in the form of financing. The limitations that can be done to optimize this financing is among other things; owners of capital supervision (monitoring) and the customers themselves place restrictions on its actions (bonding).

ASPEK ETIK DAN SISTEMIK DALAM EKONOMI DAN BISNIS ISLAM

ALQALAM ◽  
2014 ◽  
Vol 31 (1) ◽  
pp. 187
Author(s):  
Budi Harsanto
Keyword(s):  
Financial Crisis ◽  
Business Ethics ◽  
Moral Hazard ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Research Question ◽  
Academic Journals ◽  
Lehman Brothers ◽  
The World ◽  
The Global Financial Crisis

The fall of Enron, Lehman Brothers and other major financial institution in the world make researchers conduct various studies about crisis. The research question in this study is, from Islamic economics and business standpoint, why the global financial crisis can happen repeatedly. The purpose is to contribute ideas regarding Islamic viewpoint linked with the global financial crisis. The methodology used is a theoretical-reflective to various article published in academic journals and other intellectual resources with relevant themes. There are lots of analyses on the causes of the crisis. For discussion purposes, the causes divide into two big parts namely ethics and systemic. Ethics contributed to the crisis by greed and moral hazard as a theme that almost always arises in the study of the global financial crisis. Systemic means that the crisis can only be overcome with a major restructuring of the system. Islamic perspective on these two aspect is diametrically different. At ethics side, there is exist direction to obtain blessing in economics and business activities. At systemic side, there is rule of halal and haram and a set of mechanism of economics system such as the concept of ownership that will early prevent the seeds of crisis. Keywords: Islamic economics and business, business ethics, financial crisis 

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