Lifecycle funds offered by retirement plan providers allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as they grow older and approach retirement. This approach focuses on maximizing growth of the accumulation fund in the initial years and preserving its value in the later years. This paper simulates ter...

This article reports an asset market experiment in which asymmetrically informed traders transact through competing dealers. Dealers face a classic adverse selection problem, because some traders have private information regarding the asset value while other traders are uninformed. When dealers cannot communicate outside the market, they price the asset competitively and the market is generally...

As a result of economic pressures caused by deregulation, utilities are looking at new ways to approach the business of operating and maintaining their assets. In particular, one utility has taken a look at managing their substation assets as if they were stocks in a portfolio. Like financial managers who try to maximize return-on-investment for each asset in a client's portfolio, substation ma...

This article offers a dynamic model of opaque over-the-counter markets. A seller searches for an attractive price by visiting multiple buyers, one at a time. The buyers do not observe contacts, quotes, or trades elsewhere in the market. A repeat contact with a buyer reveals the seller’s reduced outside options and worsens the price offered by the revisited buyer. When the asset value is uncerta...

As the chase for great assets in biopharma gets tighter, the decision to proceed with a merger, acquisition or strategic transaction usually comes down to price. It’s also likely that both parties to the deal will rely on the standard discounted cash ow (DCF) methodology as the basic criteria to set the value of the asset, reinforced by estimates of future sales growth and market share. Yet whi...

We propose a consumption-based capital asset pricing model in which the representative agent’s preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as the risk associated with variations in preferences. We develop a simple model that can be estimated without specifying the functio...

On the assumption that asset value of a company is the sum of total market value of stock and debt value, we estimate a mean value and variance of the sum with the first moment and second moment. We also assume a new variable for which fluctuation during an evaluation period conforms to these moments and follows geometric Brownian motion. Then we construct a default probability estimation model...

Ample evidence exists to suggest that nonlinear asset dynamics can give rise to an environ­ ment of poverty traps. When dynamic asset thresholds matter, asset insurance offers great promise for managing risks that vulnerable households face. In this paper, we use dynamic programming techniques to generate an option value measure of welfare gains attributable to asset insurance in this context. ...

We analyze the value of public information in a competitive endowment economy. We provide a global result that an early release of information about the future state of the economy is desired by all agents, or Pareto improving, if agents disagree about the prospect of the economy and asset markets are complete. We further prove that for certain levels of agents’ disagreement, all agents prefer ...