In the two-factor economy developed by Longstaff and Schwartz (1991) forward and futures prices of default-free bills and bonds are obtained and maturity effects analysed. It is shown that the relationship between futures price volatility and maturity is stochastic so that, as it may be seen...

Using the conditional probability of the passage of customers from one firm to another, a new, implementable measure of market competition is obtained which generalizes the classical Hirschman-Herfindhal index.

In this paper we propose a simple approach to asset valuation in terms of two characteristics, expected value and expected variability, and their distinct marginal contributions to the value of the market portfolio. The result is shown to correspond to Sharpe's CAPM. We then show that pricing in...

In this paper we propose a simple, intuitive approach to asset valuation in terms of marginal contributions to the characteristics (moments) of the market portfolio. Considering only the first two moments, mean and variance, the valuation equation is shown to correspond to Sharpe's CAPM. A...

Using an ordinal approach to utility, in the spirit of Hicks (1962, 1967a), it is possible to greatly simplify the theory of asset prices. The basic assumption is to summarize any probability distribution into its moments so that preferences over distributions can be mapped into preferences over...

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...

In this paper we define and compare versions of the robust and non robust portfolio selection models based on the use, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of asymmetries in distribution of yields, and in profits and...

Using simple definitions and relations, portfolio returns are related to price and quantity movements. The case of self-financing portfolios is considered and the two special cases of "buy and hold" and "constant mix" strategies are analyzed

Life-cycle investment is a popular asset allocation strategy suggesting to progressively reduce the optimal risky exposure of the portfolio as long as the final investment date (retirement) approaches. This paper provides a short account of the long-dated life-cycle controversy, examining the...

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...