We consider an intertemporal economy with liquidity constrained and unconstrained individuals. A liquidity constraint prevents marketability of future income and thus endogenously generates market incompleteness. In contrast with the existing literature on portfolio constraints, our liquidity...

This paper provides (i) new results on the structure of optimal portfolios, (ii) economic insights on the behavior of the hedging components and (iii) an analysis of simulation-based numerical methods. The core of our approach relies on closed form solutions for Melliavin derivatives of...

In this paper, we consider American option contracts when the underlying asset has stochastic dividends and stochastic volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We show how they depend on the various sources of...

This document presents the StarLink corn case in four sections. The StarLink corn had been approved by the Environmental Protection Agency (EPA) in 1998 for use only in animal food and other non-alimentary industrial products, due to the potential human allergy reactions. But in September 2000,...

We aim at modelling fat-tailed densities whose distributions are unknown but are potentially asymmetric. In this context, the standard normality assumption is not appropriate.In order to make as few distributional assumptions as possible, we use a non-parametric algorithm to model the center of...

Interorganizational relationships have greatly evolved during the last decade. Alliances, partnerships and networks have become most common for designating the way firms create new structures and organizational arrangements. Such a trend can be explained by various factors but the increasing...

We study in a bivariate framework the statistical properties of the variance ratio test and t-statistic based on long period returns. Following Richardson and Stock (1989)with their approach K/T ¬ k, we show that the asymptotic distributions of those statistics are non-standard. Under the null...

In this study, realized with 536 French Canadian employees, we examine the perceived influence of four Human Resource Processes (information-sharing, empowerment, competencies and recognition) on the organizational commitment and the discretionary behaviors, on the one hand, as well as the role...