This article extends the classic Samuelson (1970) and Merton (1973) model of optimal portfolio allocation with one risky asset and a riskless one to include the effect of the skewness. Using an extended version of Stein's Lemma, we provide the explicit solution for optimal demand that holds for...</italic>

We analyse intended and unintended solidarity transfers between the young and the old in the Swiss retirement system. In addition to the intended solidarity transfers in the pay-as-you-go system, we identify a systematic unintended solidarity transfer from the active population to new retirees...

Economists often argue in favour of market discipline as a means to distribute resources effectively and efficiently. These same arguments likely influence decision-makers as they incorporate market discipline as the third pillar of Solvency II, the European insurance regulatory scheme currently...

This article analyses the systematic risks of distressed securities hedge funds. Four factors largely explain the systematic risk of this strategy group: These are the returns of two options strategies, i. e. (1) a short-put position on a stock index and (2) a short-straddle position on a bond...

"The contribution of this paper is to provide an overview and new empirical evidence on hedge fund performance persistence, which has been a controversial issue in the academic literature during the last several years. In the first step, we review recent studies and put them into a joint...

The least restrictive sufficient condition for expected utility to imply Sharpe ratio rankings is the location and scale (LS) property (see [Sinn, 1983] and [Meyer, 1987]). The normal, the extreme value, and many other distributions commonly used in finance satisfy this property. We argue that...

This paper provides a comprehensive analysis of the insurability of risks in microinsurance markets. Our aim is to enhance the understanding of impediments to and facilitators of microinsurance from an economic perspective and outline potential solutions. The motivation for conducting this...