We investigate the set of centers of completely and jointly mixable distributions. In addition to several results, we show that, for each n ≥ 2, there exist n standard Cauchy random variables adding up to a constant C if and only if |C| ≤ n*log(n − 1)/π

In this paper, we investigate the asymptotic behavior of the portfolio diversification ratio based on Value-at-Risk (quantile) under dependence uncertainty, which we refer to as "worst-case diversification limit." We show that the worst-case diversification limit is equal to the upper limit of...

We find a negative relation between hedge fund manager’s personal income tax rates and fund performance. Using changes in tax deferral regulation or state-level tax rates suggest causality in the tax-performance relation. Managers are less likely to hold stocks with greater information...

We provide a theory of how growth, corruption, and a low-powered public-sector pay scale coexist in a stable equilibrium in the early stage of China's development. The regionally decentralized authoritarian regime of China features lower-level government officials competing for promotion to a...