Genotte and Leland (1990) present a theory of market crashes with a reverse-S demand curve, negatively-sloped at higher and lower prices and positively-sloped between. The crash takes the form of a downward jump from one point on the demand curve to another. In this paper, we revisit the theory...

The dynamic non-myopic portfolio behavior of an investor who trades a risk-free and risky asset is derived, for all HARA utility functions and a stochastic risk premium. Conditions are found for when the investor holds more or less than the myopic amount of the risky asset; hedges against or...

The dynamic nonmyopic portfolio behavior of an investor who trades a risk-free and risky asset is derived for all HARA utility functions and a stochastic risk premium. Conditions are found for when the investor holds more or less than the myopic amount of the risky asset; hedges against or...

It has been noted that a certain continuous-time trading strategy, termed the "doubling strategy," generates a positive net return on borrowed funds, with probability one and within a finite period of time. Since the doubling strategy seems to represent a "free lunch" or arbitrage opportunity, a...