We consider a risky asset whose instantaneous rate of returntakes two dierent values and changes from one to the other one at randomtimes which are neither known, nor directly observable. We study the optimalallocation strategy of traders who, in the presence of cost of transactions, investin...

In this article, we study the effect of liquidity risk on the performanceof various hedge fund portfolio strategies. The portfolio strategies in eachhedge fund style are formed by incorporating predictability in: (i) managerialskills, (ii) fund risk loadings, and (iii) benchmark returns. As...

Some people are motivated by the non-selfish, non-strategic, and non-consequentialist “sacredvalue” of Truth. We conduct the first experiment directly assessing this phenomenon. We findthat people differ substantially in their truthfulness, with a large minority powerfully inclined...