This paper investigates how interest rates on liquid assets and excess returns on risky assets are determined when only safe assets can be used as liquid assets when waiting for an informative signal of future payoffs. In particular, we carefully differentiate between a demand for liquid assets while waiting for new information and a demand for safe assets for precautionary reasons. Employing K...

This Article offers a broad theory of what distinguishes investment funds from ordinary companies, with ramifications for how these funds are understood and regulated. The central claim is that investment funds (i.e., mutual funds, hedge funds, private equity funds, and their cousins) are distinguished not by the assets they hold, but by their unique organizational structures, which separate in...

Customers are important intangible assets of a firm that should be valued and managed. Although researchers and practitioners have recently emphasized customer relationships and customer lifetime value, these concepts have had limited impact on the business and investment community for two main reasons: (a) they require extensive data and complex modeling, and (b) researchers have not shown a s...

We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. ‎This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ‎...

This paper investigates how the control and devolution of productive assets are allocated among husband and wife. Theory predicts that bargaining power within marriage depends on the division of assets upon divorce (exit option) and on control over assets during marriage (noncooperative marriage). In empirical applications, bargaining power is typically proxied by variables such as dowry paymen...

We investigate the properties of mean-variance efficient portfolios when the number of assets is large. We show analytically and empirically that the proportion of assets held short converges to 50% as the number of assets grows, and the investment proportions are extreme, with several assets held in large positions. The cost of the no-shortselling constraint increases dramatically with the num...

This paper o¤ers a monetary theory of asset liquidity— one that emphasizes the role of assets in payment arrangements— and it explores the implications of the theory for the relationship between assets’ intrinsic characteristics and liquidity, and the e¤ects of policy on asset prices and welfare. The environment is a random-matching economy where risk-free bonds coexist with a risky asset, equi...