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- W2170962870 abstract "This paper applies a continuous-time model to study the equilibrium of an economy consisting one normal agent and one portfolio benchmarker who has to maintain his intermediate wealth above the maximum of a stochastic benchmark and a constant floor. After characterizing the optimization problems, I use the martingale approach to derive the equilibrium market dynamics in closed-form to compare with the normal economy. In the benchmarking economy before the constraint date, asset price, volatility and risk premium are higher than in the normal economy for very risky benchmarks. When the benchmark is relatively safe, asset price is higher but volatility, risk premium and the optimal fraction of wealth invested in the risky asset are decreased. In both cases, the eects are state- dependent. The derivation of equilibrium also reveals the benchmarker's demand for index options." @default.
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- W2170962870 date "2008-01-01" @default.
- W2170962870 modified "2023-09-27" @default.
- W2170962870 title "General Equilibrium Analysis of Portfolio Benchmarking" @default.
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