Showing 1 - 10 of 17,203
In an environment that features second-degree price discrimination, this paper fully characterizes the set of surplus divisions that can arise from all possible information consumers have about their valuation. By extending the techniques developed in a companion paper (Yang, 2019a), I show that...
Persistent link: https://www.econbiz.de/10012894284
weather forecasts. Consistent with the theory, we find that, ceteris paribus, good weather forecasts are associated to higher …
Persistent link: https://www.econbiz.de/10012120601
We derive risk-neutral option price formulas for plain-vanilla temperature futures derivatives on the basis of several multi-factor Ornstein-Uhlenbeck temperature models which allow for seasonality in the mean level and volatility. Our main innovation consists in an incorporation of omnipresent...
Persistent link: https://www.econbiz.de/10013035450
This paper proposes a framework to evaluate the impact of longevity-linked securities on the risk-return trade-off for traditional portfolios. Generalized unexpected raise in life expectancy is a source of aggregate risk in the insurance sector balance sheets. Longevity-linked securities are a...
Persistent link: https://www.econbiz.de/10013053624
Generalized unexpected raise in life expectancy is a source of aggregate risk. Longevity‐linked securities are a natural instrument to reallocate these risks by making them tradeable in the financial market. This paper extends the Campbell and Viceira (2005) strategic asset allocation model...
Persistent link: https://www.econbiz.de/10013018475
The trading app Robinhood maintains a list of the 100 stocks most widely held by its users. Using a novel dataset of stock popularity with Robinhood user, I focus on new securities that enter the list. I document the strong effect that salience of new Top 100 listing events has on the attention...
Persistent link: https://www.econbiz.de/10012822971
Persistent link: https://www.econbiz.de/10011875664
Persistent link: https://www.econbiz.de/10012656733
This article proposes a way of introducing some organization and tractability in climate science, generating more widely credible evaluations of climate science, and imposing some discipline on the processing and interpretation of climate information. I propose a two-part policy instrument...
Persistent link: https://www.econbiz.de/10014185534
The paper suggests a similarity function for applications of empirical similarity theory in which the notion of …
Persistent link: https://www.econbiz.de/10014161678