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Equilibrium analysis of one aggressive investment strategy

Author

Listed:
  • 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)

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.

Suggested Citation

  • Junya Jiang & Weidong Tian, 2014. "Equilibrium analysis of one aggressive investment strategy," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 1-29.
    • Handle: RePEc:wsi:jfexxx:v:01:y:2014:i:04:n:s2345768614500366
    DOI: 10.1142/S2345768614500366
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    References listed on IDEAS

    as
    1. William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," NBER Working Papers 9116, National Bureau of Economic Research, Inc.
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    More about this item

    Keywords

    Equilibrium; aggressive investment strategy; JEL Classifications: G11; JEL Classifications: G12; JEL Classifications: G23;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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