Similar Search Results

Sharing R&D Risk in Healthcare via FDA Hedges

Jørring, Adam - 2017

The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We analyze new and simple financial...

Persistent link: https://www.econbiz.de/10012455337

A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios

Alekseev, Georgij; Giglio, Stefano; Maingi, Quinn; … - National Bureau of Economic Research - 2022

We propose a new methodology to build portfolios that hedge the economic and financial risks from climate change. Our quantity-based approach exploits information on how mutual fund managers trade in response to idiosyncratic changes in their climate risk beliefs. We exploit two types of...

Persistent link: https://www.econbiz.de/10013477195

Commodities for the Long Run

Levine, Ari - 2016

This paper analyzes a novel data set of commodity futures prices over a long sample period starting in 1877, which allows us to shed new light on several important and controversial questions. We document that commodity futures returns (1) have been positive on average; (2) vary significantly...

Persistent link: https://www.econbiz.de/10012455887

Valuation of Variance Forecast with Simulated Option Markets

Engle, Robert F. - 1990

estimation period may be preferable to estimating specification parameters from all available observations. Finally, the hedging …

Persistent link: https://www.econbiz.de/10012475683

A Note on the Derivation of Linear Homogeneous Asset Demand Functions

Friedman, Benjamin M. - 1979

Among the numerous familiar sets of specific assumptions sufficient to derive mean-variance portfolio behavior from more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint normally distributed asset return assessments are also...

Persistent link: https://www.econbiz.de/10012478803

Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

Constantinides, George M. - 2002

By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security....

Persistent link: https://www.econbiz.de/10012469848

Model Uncertainty and Liquidity

Routledge, Bryan R. - 2001

particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets. Asset … intermediary makes a market for a propriety derivative security. The market-maker chooses bid and ask prices for the derivative …

Persistent link: https://www.econbiz.de/10012470032

Inter-temporal R&D and Capital Investment Portfolios for the Electricity Industry’s Low Carbon Future

Santen, Nidhi R. - 2014

This paper explores cost-effective low-carbon R&D and capital investment portfolios for the electricity generation …-linear technical change and a generation capacity planning model with key features of the electricity system. The model captures the … research characteristic of the energy innovation process. We show portfolios for future scenarios with and without carbon …

Persistent link: https://www.econbiz.de/10012457883

Level versus Variability Trade-offs in Wind and Solar Generation Investments : The Case of California

Wolak, Frank A. - 2016

and solar energy and revenue risk are computed using the actual market portfolio and the risk-adjusted expected hourly …

Persistent link: https://www.econbiz.de/10012456183

Adaptation Using Financial Markets : Climate Risk Diversification through Securitization

Kahn, Matthew E.; Ouazad, Amine; Yönder, Erkan - National Bureau of Economic Research - 2024

In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that have the skill and expertise to build diversified pools, such as Mortgage-Backed Securities. In diversified pools, exposure to climate risk may be a drop in the ocean of cash...

Persistent link: https://www.econbiz.de/10014512098