In this thesis we deal with different topics in financial mathematics, that are all related to market imperfections and to the fundamental technique of utility maximization. The work consists of three parts. In the first one, which is based on two papers, we consider the problem of optimal...

Our paper investigates spillover effects across different business segments of publicly traded mutual fund management companies. We find that the prior stock price performance of the management company has a significant impact on the money flows and the management turnover of the affiliated...

The optimal allocation of assets among different asset classes (such as stocks and bonds) has received considerable attention in financial theory and practice. On the other hand, investors have not been given much guidance about which assets should be located in tax-deferred retirement accounts...

Mutual funds change their risk levels significantly over time. This paper investigates the performance consequences of risk shifting, as well as the economic motivations and the mechanisms of risk shifting. Using a holdings-based measure of risk shifting, we find that funds that increase risk...

Mutual funds are pooled investment vehicles with diverse tax clienteles. Whereas many mutual funds are held primarily by taxable investors, a significant fraction of mutual fund assets are held in tax-qualified retirement accounts. Our paper investigates whether the characteristics, investment...

We show that a significant number of households can perform a tax arbitrage by cutting back on their additional mortgage payments and increasing their contributions to tax-deferred accounts (TDA). Using data from the Survey of Consumer Finances, we show that about 38% of U.S. households that are...

Using data on the investments a large number of individual investors made through a discount broker from 1991 to 1996, we find that the stock trades by households with concentrated portfolios outperform those with diversified portfolios. While in general the stocks bought by individual investors...

This paper uses data on actual returns on taxable bonds, tax-exempt bonds, and a small sample of equity mutual funds over the 1962-1998 period to compare two asset location strategies for retirement savers. The first strategy gives priority to holding equities, through equity mutual funds, in a...

In this thesis we explore two recent topics in behavioral finance, namely portfolio optimization by non-expected utility insiders and existence of equilibria in financial markets populated by heterogeneous agents. Firstly, we review a number of theories which have been used to model behavioral...

In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011)...