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Contracting with Self-Esteem Concerns
It is widely accepted in social psychology that the need to maintain and enhance self-esteem is a fundamental human motive. We incorporate this...
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Interlinkages between payment and securities settlement systems
Payments systems involve a number of interconnected systems that center around a large-value payment system through which banks send funds to each...
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The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
We consider a version of the intertemporal general equilibrium model of Cox et al. (Econometrica 53:363–384,
1985 ) with a single production process... -
Technological advances and the decision to invest
Technological advances impact a firm’s investment decision, as they affect the investment cost. They can also affect the profitability due to demand...
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Implied and realized volatility: empirical model selection
The paper studies the nonparametric connection between realized and implied volatilities. No-arbitrage identities and comparison inequalities are...
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Robust consumption and portfolio choice for time varying investment opportunities
This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with recursive preferences. The investor...
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A Gaussian calculus for inference from high frequency data
In the econometric literature of high frequency data, it is often assumed that one can carry out inference conditionally on the underlying volatility...
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Real options with unknown-date events
The real options literature has provided new insights on how to manage irreversible capital investments whose payoffs are uncertain. Two of the most...
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Investigating the dependence structure between credit default swap spreads and the U.S. financial market
Under Basel II framework, credit risk assessment is of high significance in the light of correlation risk. Correlation risk is often envisioned along...
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Short note on inf-convolution preserving the Fatou property
We model agents’ preferences by cash-invariant concave functionals defined on L ∞ , and formulate the optimal risk allocation problem as their...
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On the equivalence of a class of affine term structure models
In specifying a finite factor model for the term structure of interest rates, one usually begins by modeling the dynamics of the underlying factors....
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On Tail Value-at-Risk for sums of non-independent random variables with a generalized Pareto distribution
Recently in actuarial literature several authors have derived lower and upper bounds in the sense of convex order for sums of random variables with...
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On improving the least squares Monte Carlo option valuation method
This paper studies various possible approaches to improving the least squares Monte Carlo option valuation method. We test different regression...
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Robust portfolio optimization with a generalized expected utility model under ambiguity
This paper proposes a robust approach maximizing worst-case utility when both the distributions underlying the uncertain vector of returns are...
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Screening equilibria in experimental markets
We conduct an experimental test of a screening model of an insurance market with asymmetric information. We first conduct three sessions in which the...
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On the role of market insurance in a dynamic model
Durables like cars or houses are a substantial component in the balance sheets of households. These durables are exposed to risk and can be insured...
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Prospect and Markowitz stochastic dominance
Levy and Wiener (J Risk Uncertain 16 (2), 147–163, 1998), Levy and Levy (Manage Sci 48 (10), 1334–1349, 2002; Rev Fin Stud 17 (4), 1015–1041, 2004)...
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Optimal insurance contracts without the non-negativity constraint on indemnities: revisited
In the literature on optimal indemnity schedules, indemnities are usually restricted to be non-negative. Keeler [1974] and Gollier [1987] show that...
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The Use of Debt to Prevent Short-Term Managerial Exploitation
This paper emphasizes the versatility of debt by presenting a setting in which debt is used to assuage a manager. Our result is driven by the...
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Uncertainty and the Cost of Reversal
For standard irreversibility theory the prospect of acquiring better information in the future should induce more flexible decisions: the...