We exploit the restrictions of intertemporal portfolio choice in the presence of nonfinancial income risk to design and implement tests of hedging that use the information contained in the actual portfolio of the investor. We use a unique dataset of Swedish investors with information broken down at the investor level and into various components of wealth, investor income, tax positions and inve...

Soccer spread betting is analysed using standard probabilistic methods assuming that goals are scored in a match according to Poisson distributions with constant means. A number of different possible forms of ‘edge’ (betting advantage) is identified. It is shown how the centre spreads of the more common bets in the ‘bet universe’ may be calculated. A more general question is then addressed, nam...

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.

This paper seeks to articulate a series of worries surrounding the seeming convergence recent critical work on animism with contemporary calls decolonise thought. Sometimes referred as 'new animism', these approaches valuably question traditional and mainstream notions Western rationality, perform important reforms formerly dominant anthropological epistemological perspectives, open up question...

Rational requirements have a special status in the theory of rationality. This is obvious in one sense: they supply the content of that theory. But I want to suggest that rational requirements have another special status—as objects of the theory of rationality. In slogan form, my thesis is: Fixed Point Thesis: Mistakes about the requirements of rationality are mistakes of rationality. The key c...

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