Private investors have limited time available for learning about stocks as they need to divide their time between stock analysis and work. This paper analyzes the influence of learning constraints in the form of time constraints on portfolio selection and derives both optimal portfolio holdings...

This paper identifies, first, the important price drivers of marginal allowance prices in a pure allowance trading environment (without the use of abatement technologies): companies' profitability, emissions intensities, and the correlation between electricity and allowance prices. Second, it...

Some real-world insurance products contain a minimum-wealth or an income-stream guarantee, both of which have to be met irrespective of capital market conditions. Therefore, sellers of such products are well advised to pursue a portfolio strategy that can meet these minimum investment goals if...

Some real-world insurance products contain a minimum-wealth or an income-stream guarantee, both of which have to be met irrespective of capital market conditions. Therefore, sellers of such products are well advised to pursue a portfolio strategy that can meet these minimum investment goals if...

There seems to be a hidden conflict in the finance literature between Merton [1976], Ahn/Thompson [1988], and Bates [1991] with respect to the pricing relevance of stock price jumps: They diverge, first, on the correct number of pricing factors in a jump CAPM and, second, on the true nature of...

Today's primarily mathematically oriented arbitrage theory does not address some economically important aspects of pricing. These are, first, the implicit conjecture that there is quot;thequot; price of a portfolio, second, the exact formulation of no-arbitrage, price reproduction, and...

Intertemporal continuous time portfolio selection models are rather easy to implement -they only need means and variances/covariances as input (and no higher moments). Moreover, they are able to gain closed form portfolio strategies and, as a by-product, compact pricing equations e.g. the...

Options will usually elude arbitrage-oriented pricing if the underlying stock follows a jump/ diffusion process - one has to rely on equilibrium-based pricing approaches. However, all ex-isting pricing models under jumps have one in common weakness: they pay too less attention to the economic...