Leveraged and inverse ETFs are designed to achieve a multiple exposure (positive or negative, e.g., 2x or -2x) of some index returns on a daily basis. Recently, some controversy surrounding leveraged ETFs has appeared in the U.S. market and focused mainly on the performance results delivered by...

We study the optimal design of financial structured portfolios (equity or index linked notes) within the utility with ambiguity framework. We analyze some of these products with respect to investor's attitude towards risk, including ambiguity. These financial products usually involve derivative...

In this paper we study the effect of institutional reform on the decision to hold risky assets at the extensive and the intensive margin. We therefore make use of the natural experiment of German Division and Reunification and, based on savings bank customer data from German savings banks, study...

We study if and how intermediary capitalization affects asset demand and prices. We introduce a model with strategic but capital-constrained intermediaries to show that lower capitalization or weaker capital requirements lead intermediaries to demand more of the asset at higher prices because it...

The scientific problem of this study is the analysis of the portfolio of outputs by public research labs in the presence of hybrid funding scheme based on public and market-oriented financing mechanisms. Research institutes are considered Decision Making Units, which produce two different kinds...

This paper undertakes the issue of portfolio insurance from the perspective of a risk-averse agent requiring his financial wealth to grow at a floored rate in excess of an equity benchmark. The suggested solution is a generalization of the CPPI approach within a two-equity asset framework. The...

The optimal number of products to offer consumers constitutes one of the core strategic problems that firms face. While the existing literature has studied this question mainly in markets with long-lived goods, little is known for markets in which firms sell fast-moving consumer goods---i.e.,...