Executive Summary. This article examines the portfolio allocation decision within an asset/liability framework. Here portfolio weights are chosen not just by an asset’s return and variance but also by its correlation with pension liabilities. This results in assets that are highly correlated with pension liabilities being weighted higher in the portfolio. Typical mean-variance models estimate a...

This paper makes a number of contributions to the understanding of minimum variance portfolio (MVP) risk. First, it presents several results connecting changes in MVP risk to changes in portfolio asset volatilities and correlations. Second, it explores the efficacy of three alternative methods of attributing changes in MVP risk to either changes in asset volatility or changes in asset correlati...

In this paper we will state the fundamental principles of the gauge approach to financial economics and demonstrate the ways of its application. In particular, modeling of real pricing processes will be considered for an example of S&P500 market index. Derivative pricing and portfolio theory are also briefly discussed.

of the Dissertation Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance.

This paper analyzes the investment decisions of insured banks under fixed-rate deposit insurance. The model takes into account the charter value and allows banks to dynamically revise their asset portfolios. Trade-offs exist between preserving the charter and exploiting deposit insurance. The optimal bank portfolio problem is solved analytically for a constant charter value. In any audit period...

This paper, adopting the recursive multiple-priors utility, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. The fundamental issue is what the effects of ambiguity and anticipation on the investor’s behavior are. In the case of a logarithmic felicity function, the paper also shows that no hedgin...

Let MPT (v, 2) denote a maximum packing of triples of order v and index 2. An MPT (v, 2) is called simple if it contains no repeated triples. It is proved in this paper that for v > 2 and any even 2, the necessary and sufficient condition for the embedding of a simple MPT(v,2) in a simple MPT(u,).) is u >/2v + 1.

Weighted utility models attempt to account for risk preferences in terms of an expectation-like equation applied to the subjective evaluation of probabilities and outcomes, while Portfolio theory assumes that risk preference is a function of expected value and perceived risk. A pair of empirical predictions which contrasts Portfolio theory with all weighted utility models is derived and tested....

This essay advances an affective agenda in urban geopolitics that studies the everyday felt experience of terrorism. It takes as examples relations between spatial politics and atmospheres Place de la République (Paris) Bourse/Beursplein (Brussels) aftermath terrorist attacks 2015 2016. Intersecting feminist non-representational geographies, bridges geographical with experiential accounts geopo...