and derive the optimal investment strategy in terms of second-order ordinary differential equations. The optimal portfolio …

We analyze an optimal consumption and investment problem for a representative agent who may have different preferences … optimal patterns for consumption and investment and compare them to the case where terminal debt is not allowed …

Financial innovations that change how promises are collateralized can affect investment, even in the absence of any … change in fundamentals. In C-models, the ability to leverage an asset always generates over-investment compared to Arrow … Debreu. The introduction of CDS always leads to under-investment with respect to Arrow Debreu, and in some cases even …

We show that financial innovations that change the collateral capacity of assets in the economy can affect investment … an asset by selling non-contingent promises can generate over-investment compared to the Arrow-Debreu level. Second, we … show that the introduction of naked CDS can generate under-investment with respect to the Arrow-Debreu level. Finally, we …

As early as 1934 Graham and Dodd conjectured that excess returns from value investment originate from a tendency of … cross-sectional regression proposed here whereas, when being based on the SML, regressions might result in flawed investment …