In this article we derive a microfounded model of money demand under uncertainty built on intertemporally optimizing risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint into account leads to ambiguous effects w.r.t. to the...

In this article we derive a microfounded model of money demand under uncertainty built on intertemporally optimizing risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint into account where linearization procedures in our...

In this article we derive a microfounded model of money demand under uncertainty built on intertemporally optimizing risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint into account leads to ambiguous effects w.r.t. to the...

In this article we derive a microfounded model of money demand under uncertainty built on intertemporally optimizing risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint into account where linearization procedures in our...

This paper investigates a continuous-time optimal consumption, investment, and life insurance decision problem of a family under inflation risk. In the financial market, there is a liquid inflation-linked index bond market which can be utilized to hedge the inflation risk. The explicit solutions...

This paper solves an empirically parameterized model of households’ optimal demand for nominal and inflation indexed annuities. The model incorporates mortality, inflation, and real interest rate risk. The model draws some interesting predictions. First, the welfare calculations on the access...

We give an explicit expression for the optimal investment strategy, under the constant elasticity of variance (CEV) model, which maximizes the expected HARA utility of the final value of the surplus at the maturity time. To do this, the corresponding HJB equation will be transformed into a...

We establish a model of insurance pricing with the assumption that the insurance price, insurer investment returns, and insured losses are correlated stochastic processes. We consider the effect of demand on price where the objective of the pricing model is to maximize the expected utility of...

This paper empirically examines the different variants of data envelopment analysis (DEA) models to select the large cap market securities in India in both constant and variable returns to scale environments. The results of this exercise are summarized as follows. First, there is a fall in...

Chapter 1 - Estimating Determinants of a Mutual Fund's Risk and Managerial Performance: In this chapter, we construct a framework that can be used by investors to independently estimate a mutual fund's actual and policy weights in a set of predefined asset classes, and to estimate a mutual...