scholarly journals Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations

2005 ◽  
Author(s):  
Baosheng Yuan ◽  
Kan Chen
Keyword(s):  
Risk Aversion ◽  
Asset Price ◽  
Price Fluctuations

Short-Term Funding Stresses and Asset Prices: Lessons from U.S. History

FEDS Notes ◽  
2020 ◽  
Vol 2020 (2790) ◽  
Author(s):  
Colin Weiss ◽  
Keyword(s):  
Capital Markets ◽  
Federal Reserve ◽  
Asset Prices ◽  
Asset Price ◽  
Bond Markets ◽  
Short Term ◽  
Money Markets ◽  
Price Fluctuations ◽  
History Of

Recent stress episodes in U.S. short-term dollar funding markets have brought renewed attention to the functioning of these markets and how they interact with capital markets more generally. The history of U.S. money markets and stock and bond markets before the founding of the Federal Reserve offer a unique perspective on how the structure of money markets can contribute to broader asset price fluctuations.

scholarly journals Asset price fluctuations without aggregate shocks

2007 ◽  
Vol 136 (1) ◽  
pp. 126-143 ◽  
Author(s):  
Costas Azariadis ◽  
Leo Kaas
Keyword(s):  
Asset Price ◽  
Aggregate Shocks ◽  
Price Fluctuations

Optimal trade execution under displaced diffusions dynamics across different risk criteria

2014 ◽  
Vol 01 (02) ◽  
pp. 1450018 ◽  
Author(s):  
Damiano Brigo ◽  
Giuseppe Di Graziano
Keyword(s):  
Risk Aversion ◽  
Value At Risk ◽  
Asset Price ◽  
Optimal Solution ◽  
Optimal Strategies ◽  
Shift Parameter ◽  
Brownian Motions ◽  
Risk Criteria ◽  
Price Distribution ◽  
Optimal Trade Execution

We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion (DD). Optimal strategies in the adapted class under various risk criteria, namely value-at-risk (VaR), expected shortfall (ES) and a new criterion called squared asset expectation (SAE), related to a version of the cost variance measure, are derived and compared. It is well known that DDs exhibit dynamics that are in-between arithmetic Brownian motions (ABM) and geometric Brownian motions (GBM) depending of the choice of the shift parameter. Furthermore, DD allows for changes in the support of the mid asset price distribution, allowing one to include a minimum permitted value for the mid price, either positive or negative. We study the dependence of the optimal solution on the choice of the risk aversion criterion. Optimal solutions across criteria and asset dynamics are comparable although differences are not negligible for high levels of risk aversion and low market impact assets. This is illustrated with numerical examples.

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