This paper sets out to quantify, with the use of a consumption-based CAMP, the risk premiums inherent in the Israeli market for index-linked and non-index-linked bonds. In contrast to what has appeared in the macroeconomics literature, this study, quantifies the size and dynamics of two such...

We study the dynamic equilibrium behavior of security prices in an economy where nonfundamental risk arises from agents' heterogeneous beliefs about extraneous processes. We provide a complete characteriszation of equilibrium in terms of the primitives of the economy, via construction of a...

This paper tests the existence of a risk premium in the one-month and three-month forward exchange markets.

Развитие виртуализации создает новые риски для финансовых рынков

This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an...

We consider a financial market consisting of a nonrisky asset and a risky one. We study the minimal initial capital needed in order to super-replicate a given contingent claim under the Gamma constraint, i.e. a constraint on the unbounded variation part of the hedging porfolio. In the general...

A usual argument in finance refers to no arbitrage opportunities for the positivity of the bid-ask spread. Here we follow the decision theory approach and show that if positivity of the bid-ask spread is identified with strong risk aversion for an expended utility market-marker, this is no...