Connected Stocks

Dynamics of Bankrupt Stocks

In this thesis, we study the behavior of bankrupt stocks. Bankrupt stock is a special case of the Hard-to-Borrow stocks. Besides the general nice feature of the Hard-to-borrow feedback for the buy-in demand, the bankrupt stocks could exclude the diffusive effects. This nice property would modify the Marco Avellaneda and Mike Lipkin’s jump-diffusion model for the Hard-to-Borrow stocks into the p...

Why Stocks May Disappoint∗

We provide a formal treatment of both static and dynamic portfolio choice using the Disappointment Aversion preferences of Gul (1991), which imply asymmetric aversion to gains versus losses. Our dynamic formulation nests the standard CRRA asset allocation problem as a special case. Using realistic data generating processes, we find reasonable equity portfolio allocations for disappointment aver...

Tuna stocks threatened

Urgent measures to save falling stocks of tuna in the world's second biggest tuna fishery — the eastern Pacific— have failed to be implemented, according to several environmental groups. Closure of the fishery, both by area and by time, was demanded by the groups to protect rapidly decreasing Pacific populations of yellowfin and bigeye tuna. But the annual meeting of the Inter American Tropical...

TMESCSR Cryopreservation Stocks

Coupling Index and Stocks

In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed into a systemic part proportional to the log-returns of the index plus an idiosyncratic part. We show that, when the number of stocks in the index is large, t...