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Moral hazard with the (unlikely) possibility of catastrophes

Bednarek, Ziemowit; Patel, Pratish - In: Economics Letters 124 (2014) 3, pp. 386-388

Without sacrificing tractability, we analyze the effect of fat-tailed events such as catastrophes on the optimal compensation contract between a principal and an agent. The optimal contract depends on all the moments and not just the variance.

Persistent link: https://www.econbiz.de/10010930737

Understanding the outperformance of the minimum variance portfolio

Bednarek, Ziemowit; Patel, Pratish - In: Finance research letters 24 (2018), pp. 175-178

Persistent link: https://www.econbiz.de/10011982564

Moral hazard with the (unlikely) possibility of catastrophes

Bednarek, Ziemowit; Patel, Pratish - In: Economics letters 124 (2014) 3, pp. 386-388

Persistent link: https://www.econbiz.de/10010495165

Effect of booms and busts on the sharpe ratio

Bednarek, Ziemowit; Patel, Pratish - In: The journal of portfolio management : a publication of … 43 (2017) 2, pp. 105-114

Persistent link: https://www.econbiz.de/10011687264

A strong case to calculate the Treynor ratio using log-returns

Bednarek, Ziemowit; Firsov, Oleksandr; Patel, Pratish - In: The journal of asset management 18 (2017) 4, pp. 317-325

Persistent link: https://www.econbiz.de/10011741591

Time aggregation of Sharpe Ratio : a better extrapolation rule

Bednarek, Ziemowit; Patel, Pratish; Ramezani, Cyrus A. - In: Journal of investment management : JOIM 16 (2018) 4, pp. 47-63

Persistent link: https://www.econbiz.de/10011961019

Rent-to-own housing contracts under financial constraints

Jaggia, Sanjiv; Patel, Pratish - In: The journal of derivatives : the official publication … 25 (2017) 2, pp. 62-78

Persistent link: https://www.econbiz.de/10011941247

Funding infrastructure under uncertainty : evidence from tax credit prices

Lang, Bree J.; Patel, Pratish - In: International tax and public finance 30 (2023) 3, pp. 635-677

Persistent link: https://www.econbiz.de/10014334885

The cash-secured put-write strategy and the variance risk premium

Patel, Pratish; Raquel, Andrew; Chadwick, Savannah - In: The journal of asset management : a major new, … 25 (2024) 1, pp. 31-50

Persistent link: https://www.econbiz.de/10014511610

Moral Hazard with the (Unlikely) Possibility of Catastrophes

Bednarek, Ziemowit - 2016

Persistent link: https://www.econbiz.de/10013005053