This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of a hedge fund. We examine the effects of variations on a compensation structure that includes a percentage management fee, a performance incentive for exceeding a specified highwater mark, and...

In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete...

We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions allowing for a general market microstructure noise specification. We show that our estimators can outperform in terms of the root mean squared error criterion the most recent and...

Modelling and forecasting the covariance of financial return series has always been a challenge due to the so-called curse of dimensionality. This paper proposes a methodology that is applicable in large dimensional cases and is based on a time series of realized covariance matrices. Some...

This paper analyzes the impact vertical integration has on upstream collusion when the price of the input is linear. As a first step, the paper derives the collusive equilibrium that requires the lowest discount factor in the infinitely repeated game when one firm is vertically integrated. It...

The literature on public goods has shown that efficient outcomes are impossible if participation constraints have to be respected. This paper addresses the question whether they should be imposed. It asks under what conditions efficiency considerations justify that individuals are forced to pay...

The Atkinson-Stiglitz (1976) theorem on the undesirability of nonuniform excise taxation when all agents have homogeneous, separable preferences is extended to allow for nonseparability with respect to endogenous variables that will be subject to distortions. The result is useful for analysing...