We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the … and probabilities, which generate variation in consumption, and the consumption smoothing induced by risk aversion. Using …

The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability …

hourly output and hourly revenue risk-reducing benefits from the optimal choice of locational generation capacities is … and solar energy and revenue risk are computed using the actual market portfolio and the risk-adjusted expected hourly …

fluctuations in savings on domestic investment and the current account? In the long run, we find that countries invest the marginal … to smooth consumption, but also domestic investment. To achieve this, they use foreign assets as a buffer stock …

choices and the valuation of fees and investors' payoffs. Increasing the investment allocation to the alpha …-generating strategy typically lowers the fund's risk-adjusted excess return due to frictions such as price pressure. When the manager is … via both management and incentive fees, we show that (i) the high-powered incentive fees encourage excessive risk taking …

This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following … periods of relatively poor investment performance. In addition, pension plans that select a relatively high rate with which to …