To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we...

This study investigates the strategic disclosure of a downstream firm’s information regarding cost-reducing investment in a vertically related industry. Disclosing information affects an (common) upstream firm’s input price (i.e., vertical strategic effects) and a rival downstream firm’s...

The paper presents a model that demonstrates the advantages of partial annuitization in the most straightforward manner. The paper also briefly discusses “the annuity puzzle”, a decades old problem

A policymaker relies on regulators or bureaucrats to screen agents on her behalf. How can she maintain some control over the design of the screening process? She solves a two-layer mechanism design problem: she restricts the set of allowable allocations, after which a screener picks a menu that...

This paper exploits temporal and spatial variation in the implementation of US sick pay mandates to assess their labor market consequences. We use the Synthetic Control Group Method (SCGM) and the Quarterly Census of Employment and Wages (QCEW) to estimate the causal effect of mandated sick...

This paper constructs a simple model of pair-wise tournament competition to investigate categorical redistribution in winner-take-all markets. We consider two forms of redistribution: category-sighted, where employers are allowed to use categorical information in pursuit of their redistributive...

How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler principle to attribute risk to its driving factors when...

This paper provides a practical approach to construct and learn a Bayesian network model that will enable an operational risk manager communicate actionable operational risk information for informed decision making by senior managers. Bayesian networks and their application in operational risk...

Xenophobia is deeply entwined with racism but nevertheless maintains a life of its own. Focusing on the structural drivers of xenophobia in the United States, this essay asks what xenophobia accomplishes that racism alone does not. It posits that while xenophobia serves many purposes, one of its...