Miller (1977) emphasized that optimal corporate financial policy depends on the tax rates facing the firm as well as the tax treatment accorded bondand stock-holders. In equilibrium, firms will issue claims that are held by the full spectrum of investors, from tax-exempt institutional investors to heavily taxed individuals. However, dealers are tax neutral institutions that can buy corporate se...

In this paper the efficiency of the electricity generation portfolio of BKW, a major Swiss utility, is analyzed. By applying mean-variance portfolio theory to the current and to possible future generation mixes, efficient frontiers are derived. The analysis based on relative changes in generation costs is complemented by an actual costs analysis. Moreover, a method that takes into account physi...

Mean-variance criterion has long been the main stream approach in the optimal portfolio theory. The investors try to make a balance between the risk and return on their portfolio. In this paper, the deviation of the asset return from the investor’s expectation in the worst scenario is taken as the measure of risk for portfolio selection. One important advantage of this approach is that the inve...

I develop a model of life-cycle portfolio choice with non-tradeable idiosyncratic labor income where the agent has an option to invest in human capital, for example through education. The inability to borrow against her human capital depresses the agent’s demand for equity, as she is concerned about being liquidity constrained when it is optimal to invest. The model has many predictions that ar...

We provide a detailed portfolio analysis for a nancial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance eÆcient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Suc...

The monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as well as first-order serial correlation. This has important consequences for investors. We demonstrate that although hedge fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis and autocorrelation are taken into account. Sh...

This paper explores the role of monetary policy in an open economy in an environment of endogenous portfolio choice. The model is simple enough to allow solutions for optimal portfolios to be derived analytically for a range of different asset market environments. We explore the impact of monetary policy on national bond and equity portfolios in environments where assets markets are either comp...

This paper is devoted to the study of discrete implications that satisfy modus ponens (MP), modus tollens (MT) or both (MPT). The main goal is to characterize all R, S, QL and D-implications on a finite chain L satisfying these properties for a given smooth t-norm T1. The non-smooth case is also discussed for a special family of t-norms.

In estimating the inputs into the Modern Portfolio Theory (MPT) portfolio optimisation problem it is usual to use equal weighted historic data. Equal weighting of the data, however, does not take account of the current state of the market. Consequently this approach is unlikely to perform well in any subsequent period as the data is still reflecting market conditions that are no longer valid. T...