Most catastrophe bonds issued in the primary market are sold by the same issuers every year, and within each year. Significant similarities in the bond characteristics are therefore anticipated, which ultimately leads to similarities in pricing for these bond issuers over time. In this paper,...

We examine the impact of return predictability and parameter uncertainty on investors' long-term portfolio allocations in the context of disappointment aversion. We find persisting horizon effects, with stocks appearing progressively more attractive at longer horizons as opposed to shorter ones....

Either in the form of nature’s wrath or a pandemic, catastrophes cause major destructions in societies, thus requiring policy and decision makers to take urgent action by evaluating a host of interdependent parameters, and possible scenarios. The primary purpose of this pa-per is to propose a...

The present paper analyzes the forecastability and tradability of volatility on the large S&P500 index and the liquid SPY ETF, VIX index and VXX ETN. Even though there is already a huge array of literature on forecasting high frequency volatility, most publications only evaluate the forecast in...