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Should We Give Up After Solyndra? Optimal Technology R&D Portfolios Under Uncertainty

Webster, Mort - 2015

Global climate change and other environmental challenges require the development of new energy technologies with lower emissions. In the near-term, R&D investments, either by government or the private sector, can bring down the costs of these lower emission technologies. However, the results of...

Persistent link: https://www.econbiz.de/10013018283

Intergenerational Risk-Sharing and Risk-Taking of a Pension Fund

Gollier, Christian - 2021

facilitate intergenerational risk-sharing. In addition to the primary benefit of improved time diversification, this form of risk … results of the paper is that better intergenerational risk-sharing does not reduce the risk born by each generation. Rather …

Persistent link: https://www.econbiz.de/10013317092

Liquidity, Term Spreads and Monetary Policy

Aksoy, Yunus - 2013

the risk of maturity transformation. First, we show that fluctuations of the future profitability of banks' portfolios … risk. When economic activity is reaching its peak, expected profitability is relatively high and spreads are low; during a …

Persistent link: https://www.econbiz.de/10013089685

The Optimal Taxation of Risky Capital Income : The Rate of Return Allowance

Spiritus, Kevin - 2017

Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private … returned as a stochastic lump sum, the optimal tax on excess returns is irrelevant with only aggregate risk, and approaches 100 …% if there is also idiosyncratic risk …

Persistent link: https://www.econbiz.de/10012962987

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

Pesaran, M. Hashem - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

Persistent link: https://www.econbiz.de/10013153425

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10012955752

Portfolio Sales and Signaling

Bougheas, Spiros - 2017

A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...

Persistent link: https://www.econbiz.de/10012960474