The mean, covariability, and predictability of the return of different classes of financial assets challenge the rational economic model for an explanation. The unconditional mean aggregate equity premium is almost seven percent per year and remains high after adjusting downwards the sample mean...

A continuous time model of cash management is formulated with stochastic demand and allowing for positive and negative cash balances. The form of the optimal policy is assumed to be of a simple form (d, D, U, u). The parameters of the optimal policy are explicitly evaluated and the properties of...

Kamin's theorem [Kamin, Jules H. 1975. Optimal portfolio revision with a proportional transaction cost. Management Sci. 21 (11, July).] on portfolio revision with proportional transaction costs is extended to allow for hyperbolic absolute risk averse investors and for the possibility of...

The predictability of the market return and dividend growth is addressed in an equilibrium model with two regimes. A state variable that drives the conditional means of the aggregate consumption and dividend growth rates follows different time-series processes in the two regimes. In linear...