Using a unique dataset of credit line drawdowns and liquidity hedging, we study the relation between credit line usage and corporate investment. In line with theoretical predictions that credit lines aid firms to invest during times of limited credit availability, our findings reveal that the...

In this article, the financial portfolio model often referred to as the Black-Litterman model is described, and then mathematically derived, using a sampling theoretical approach. This approach generates a new interpretation of the model and gives an interpretable formula for the mystical...

In this article, we discuss the often overlooked behavioral implications of the Black-Litterman model when this portfolio allocation modeling tool is put into practice. One of the most interesting features of this model is that the benchmark portfolio, against which the performance of the...

Households that contemplate moving to different cities or trading up/down in the future are exposed to substantial housing risk. In order to mitigate this risk, we derive optimal portfolios using CME housing futures. Housing investment risk is hedged by selling housing futures amounting to the...

The trading volume of Chicago Mercantile Exchange (CME) housing futures remains thin despite efforts to increase the prevalence of pricing models and the derivation of optimal portfolios for households. We apply actual CME data to the theoretical models of Voicu and Seiler (2012) to demonstrate...

Households that contemplate moving to different cities or trading up/down in the future are exposed to substantial housing risk. In order to mitigate this risk, we derive optimal portfolios using CME housing futures. Housing investment risk is hedged by selling housing futures amounting to the...