We show that the intensity of "keeping up with the Joneses" behavior is largely determined by the extent to which a community is socially connected. Using a unique dataset on car purchases in Southern California, we find that social influence intensifies in suburban communities in which...

We determine the risk mitigation process inherent in managing a portfolio of technologies diverse in both their readiness for infusion and the nature of the performing organization, focusing on the so-called "valley of death" in which the technology's principles have been proven but prototypes...

We conduct a controlled laboratory experiment in which subjects dynamically choose to allocate their portfolio between (i) a safe asset, (ii) a risky asset and (iii) a skewed asset with negative expected value (a bet ), in an environment where they can sometimes choose to acquire some...

We show that benchmark-linked convex incentives can lead risk-averse money managers aware of mispricing to over-invest in overpriced securities. In the model, the managers' risk-seeking behavior varies in response to the interaction of mispricing with convexity and benchmarking concerns....

We solve analytically a pure exchange general equilibrium model with a continuum of agents that agree to disagree on how they interpret information. Disagreement fluctuates with information quality and the disagreement model is estimated using data on professional forecasts. We fi nd that...

We propose the use of a new option which we call quadratic, and that central banks could use to smooth exchange rate volatility through the hedging strategies of the issuers. We derive analytic pricing and hedging formulas. We suggest a criterion to derive the optimal (for the Central Bank)...

We consider the problem of the optimal time to purchase a house by a risk-averse investor who has access to complete financial markets and whose objective is to maximize expected utility from wealth at some fixed horizon. The house purchase is financially attractive (due to tax advantages, for...

For the first time in the literature, we derive an analytic expression for the representative agent of a fairly general class of economies populated by agents with catching up with the Joneses preferences, but with heterogeneous risk-aversion. As Chan and Kogan (2002) show numerically, the...

Management companies assign some portfolio managers to run funds within a single investment objective, specialists, and others to run funds across several investment objectives, generalists. Our results show that funds achieve higher performance when they appoint superior pickers as specialists...