In this paper we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This models is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure...

In this paper we consider a decision maker whose utility function has a kink at the reference point with different functions below and above this reference point. We also suppose that the decision maker generally distorts the objective probabilities. First we show that the expected utility...

The main purpose of this paper is to present a theoretically sound portfolio performance measure that takes into account higher moments of the distribution of returns. First, we perform a study of the investor's preferences to higher moments of distribution within expected utility theory and...