This paper studies optimal calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts....

In a seminal contribution, Campbell (1996) [Campbell, J., 1996, Understanding Risk and Return, Journal of Political Economy 104(2), 298-345] proposed a methodology based on a VAR(1) process to test Merton's Intertemporal CAPM. Innovations in predictors of portfolio returns are estimated and used...

Does Corporate Social Responsibility (CSR) matter for the cross section of stock returns ? Constructing a CSR factor long irresponsible firms and short responsible ones, we show that CSR is pervasive in the cross section of the returns of portfolios sorted on size and book to market, momentum,...

We posit a fund manager and an individual investor who maximize the expected (log) utility of their respective terminal wealth. The manager possesses more information than the investor does and charges the latter, their would-be customer, a linear compensation fee. The investor will delegate...