Browsing NHH Brage by Author "Gerber, Anke"

Now showing items 1-2 of 2

    • Dynamic general equilibrium and t-period fund separation 

      Gerber, Anke; Hens, Thorsten; Wöhrmann, Peter (Discussion paper, Working paper, 2005-07)
      We consider a dynamic general equilibrium model with incomplete markets in which we derive conditions for separating the savings decision from the asset allocation decision. It is shown that with logarithmic utility functions ...

    • Rational investor sentiment 

      Gerber, Anke; Hens, Thorsten; Vogt, Bodo (Discussion paper, Working paper, 2002-11)
      We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes' beauty contest. In every period the players can either place a buy or sell order on the asset ...