We propose a new holding horizon measure of active management and examine its relation with fund performance. Our measure identifies long-horizon funds as having higher future long-term alphas and owning stocks with superior long-term fundamentals. Such funds supply skills, but these skills only...

We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded...

The electricity industry is undergoing a substantial process of restructuring, with an emphasis on the introduction of competition in the generation sector. Traditional planning methods are not necessarily appropriate for this new environment. This paper extends a previously developed linear...

We consider a consumption and investment problem where an investor¡¯s investment opportunity gets enlarged when she becomes rich enough, i.e., when her wealth touches a critical level. We derive optimal consumption and investment rules assuming that the investor has a time-separable von...

In this paper we consider a family of investment projects defined by their deterministic cash flows. We assume stationarity—that is, projects available today are the same as those available in the past. In this framework, we prove that the absence of arbitrage opportunities is equivalent to...