Pension funds have lately emerged as an essential field of study in various disciplines within social sciences. Political economists, economic geographers and some social policy researchers have studied the role of pension funds very broadly for instance in context of labour market relations,...

Alternative investment has grown considerably, transforming this industry in the forefront of investment innovation. Despite their public acknowledgment and profound influence in the financial market, there is still relative small understanding about hedge funds strategies style.This paper...

Tougher issuance conditions related to the surge in government borrowing needs are the reasons why issuance arrangements have not always been working as efficiently as before the crisis. This prompted debt management offices (DMOs) in the OECD area to review existing issuance policies and...

With the financial crisis spreading to the real economy, the discussion about potential procyclical implications of Basel II received a surge of attention. While existing research approaches the topic either from a theoretical perspective or from an empirical perspective that draws on simulated...

We revisit an investment experiment that compares the performance of an investor using Bayesian methods for determining portfolio weights with an investor that uses the Monte Carlo based resampling approach advocated in Michaud (1998). Markowitz and Usmen (2003) showed that the Michaud investor...

This paper investigates empirically the dynamics of investors' beliefs and Bayesian uncertainty about the state of the economy as state variables that describe the time-variation in investment opportunities. Using measures of uncertainty constructed from the state probabilities estimated from...

By generalizing the Leland and Pyle (1977) model to the case of multiple correlated assets, this paper studies the signaling and hedging behavior of an intermediary who sells multiple assets in financial markets. Based on information asymmetry, this paper demonstrates the intrinsic...

This paper examines the properties that a risk measure should satisfy in order to characterize an investor's preferences. In particular, we propose some intuitive and realistic examples that describe several desirable features of an ideal risk measure. This analysis is the first step in...