Equilibrium analysis of one aggressive investment strategy

Junya Jiang () and Weidong Tian ()
Additional contact information
Junya Jiang: Belk College of Business, University of North Carolina at Charlotte, Charlotte, NC 28223, USA
Weidong Tian: Belk College of Business, University of North Carolina at Charlotte, Charlotte, NC 28223, USA

Journal of Financial Engineering (JFE), 2014, vol. 01, issue 04, 1-29

Abstract: This paper presents an equilibrium analysis of one type of aggressive investment strategy that ensures a high return subject to accepting risk. We focus on the comparison between this aggressive strategy and a relatively conservative strategy — portfolio insurance. We demonstrate that the aggressive strategy enlarges investment opportunities, and that the market behaves more stable with the presence of aggressive investors than the market with conservative investors only.

Keywords: Equilibrium; aggressive investment strategy; JEL Classifications: G11; JEL Classifications: G12; JEL Classifications: G23 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2345768614500366
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:jfexxx:v:01:y:2014:i:04:n:s2345768614500366

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2345768614500366

Access Statistics for this article

Journal of Financial Engineering (JFE) is currently edited by George Yuan

More articles in Journal of Financial Engineering (JFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().