This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value...

We solve in closed form the optimal consumption / portfolio choice problem for the class of isoelastic utility functions under incomplete information about the mean return of the stock price. Our approach consists in converting the original investor's problem into an equivalent program where the...

This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value...

Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...

A new approach for Robust DEA technical efficiency measurements is presented, based on a combination of Jackknife and Bootstrap resampling schemes. First, an algorithm implementing jackknife is used to extract leverage for all data points, that is, the impact of the removal of the observed point...

This paper analyzes the determinants of the sources of funding for the firms of an economy without stock market. Once the available and relevant financial sources for a Uruguayan firm are defined, their determinants are analyzed through cross section econometric models. The analysis casts out...

This paper develops a theory of outside ownership where such an ownership arrangement mitigates an external finance problem. Part of the gains from outside ownership accrue to asset owners which determines the asset value. The theory provides a context to analyze asset ownership and asset values...

This paper studies the design of law-making and law enforcement institutions based on the premise that law is inherently incomplete. Under incomplete law, law enforcement by courts may suffer from deterrence failure, defined as the socialwelfare loss that results from the regime's inability to...

This paper develops a computable dynamic general equilibrium model in which corporate demand for liquidity is endogenously determined. In the model liquidity demand is motivated by moral hazard as in Holmstrom and Tirole (1998). As a result of incorporating agency cost and endogenously...

The recently proposed family of hypernormal density functions possess the analytically convenient and computationally efficient property of closed form moments and anti-derivatives in the univariate case. While this result allows many univariate applications to be solved faster and/or more...