This article provides a comparative analysis of pension plan allocations to private equity and to venture capital in the United States and in Canada. Although the assets of American funds in our data are worth 10 times those of Canadian funds, their investment in private equity is about 20 times...

An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to...

This study develops three heuristics to measure financial optimism: financial expectation, a priori optimism, and a posteriori optimism. This paper finds that financial optimism has a significant positive effect on risk taking behaviour. Optimistic investors choose risky portfolios over...

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

We consider a multivariate financial market with transaction costs as in Kabanov. We study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. We prove that the value of this stochastic control problem is given by the cost of the...

The goal of the paper is to analyse the various issues attached to the valuation of weather derivatives. We focus our study on temperature-related contracts since they are the most widely traded at this point and try to address the following questions: (i) should the quantity underlying the...

Cet ouvrage décrit l'organisation d'un marché d'actions et expose les concepts de base de la gestion de portefeuille et des risques : la rentabilité, la volatilité, l'hostilité au risque, les principes et les avantages de la diversification. Il présente les modèles linéaires...

Alternative assets are gaining increasing importance in investors' portfolios. One of their defining characteristic is their poor liquidity, which often translates into an inherent smoothing process of the returns. For asset allocation purposes, this feature has to be seriously addressed as it...

This study reconsiders the problem of hedging a liability by a portfolio made of a riskless asset and an underlying (underlying).