5 papers
The value of foresight
Philip Ernst, L. C. G. Rogers, Quan Zhou
Suppose you have one unit of stock, currently worth 1, which you must sell before time . The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, th…
The joint law of the extrema, final value and signature of a stopped random walk
Moritz Duembgen, L. C. G. Rogers
A complete characterization of the possible joint distributions of the maximum and terminal value of uniformly integrable martingale has been known for some time, and the aim of th…
Investing and Stopping
Moritz Duembgen, L. C. G. Rogers
In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The ma…
The potential approach in practice
Tino Kluge, L. C. G. Rogers
The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data…
Heterogeneous Beliefs with Finite-Lived Agents
A. A. Brown, L. C. G. Rogers
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over…