Suppose populations of economic agents that are parameterized by skewness preference. For stated agents, increasing marginal utility for wealth necessarily is facilitated by a risk premium function that only robustly is parameterized with reference to `relative safety', as opposed to `relative...

The notion of the greenhouse gas (GHG) aversion (GHGA) is introduced into the mean-variance portfolio (MVP) framework. GHGA is assumed to be a weighted sum of the portfolio holdings’ GHG emission intensities. A new portfolio performance measure, the GHGA-tilted Sharpe ratio, is offered for...

Using detailed mutual fund holdings in the US market, we estimate active mutual fund managers’ loss aversion as a function of both funds’ past performance and asset allocations. We document a substantial variation in loss aversion over time. We further find managers' loss aversion is higher...

A stochastic solution is proposed for a general problem of demand for risks with both value-maximizing firms and risk averse agents. Explicit solutions are possible for both models when the interesting risk is perceived to be fairly-priced by the two decision makers

This paper examines the life-cycle impact of preference factors as experience, loss aversion, and narrow framing on explaining the empirical low stock market participation, low stock share conditional on participation, and positive relationships between financial wealth and participation as well...

We show analytically under quite general conditions that time-varying implied rates of return based on analysts' earnings forecasts are only a downward biased estimator for future expected one-period returns and therefore not suited for computing market risk premia in order to resolve the equity...

I extend and generalize the work of Kruschwitz and Löffler (BuR—Business Research 2(2):171–178, 2009). I find that, with a zero risk-free rate, the implicit price of capital gains tax payments is zero. I provide conditions in stochastic discount factor language when a capital gains tax has...

This paper analyses the default option typical to American mortgages. Households borrow to buy durable housing, but future house prices are uncertain, and households find it dvantageous to default on their debt if house prices fall sufficiently. A key assumption of the model is that households...

This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...

This paper analyses the default option typical to American mortgages. Households borrow to buy durable housing, but future house prices are uncertain, and households find it dvantageous to default on their debt if house prices fall sufficiently. A key assumption of the model is that households...