In English auctions, introducing a buy price, i.e., the seller’s maximum price bid at which any bidder at any time can immediately win the auction, allows the seller to gain higher expected utility than that in a traditional auction when either the seller or the buyers are risk-averse. If the seller sets the buy price high enough, the buyprice English auction is efficient and guarantees the hig...

Annually between 1994 and 1998 over 400,000 acres of grain sorghum have been harvested in Missouri with an average yield of 86/bushels/acre. The average value of production during this period was over $90 million. Grain sorghum (milo) is an important crop for some Missouri producers. Many sorghum producers also produce corn, soybean, or wheat. Each of these commodities has an actively traded fu...

We show that the price of risk and quantity of risk are negatively correlated in the time-series for benchmark factors in equities and currencies. Managed portfolios that increase factor exposures when volatility is low and decrease exposure when volatility is high thus produce positive alphas and increase factor Sharpe ratios. We also find volatility timing to be more beneficial to a mean vari...

We analyze the volatility risk premium by applying a modified two-pass Fama-MacBeth procedure to the returns of a large cross section of the returns of options on individual equities. Our results provide strong evidence of a volatility risk premium that is increasing in the level of overall market volatility. This risk premium provides compensation for risk stemming both from the characteristic...

We study a multi-criteria variant of the problem of routing hazardous material on a geographical area subdivided in regions. The two objective functions are given by a generally defined routing cost and a risk equity equal to the maximum, over each region, of the risk perceived within a region. This is a multicommodity flow problem where integer variables are used to define the number of trucks...

Option price data is often used to infer risk-neutral densities for future prices of an underlying asset. Given the prices of a set of options on the same underlying asset with different strikes and maturities, we propose a nonparametric approach for estimating the evolution of the risk-neutral density in time. Our method uses bicubic splines in order to achieve the desired smoothness for the e...

We show that regulators’ price-setting, rate base, and allowed rate of return decisions are inextricably linked. Once regulators switch from traditional rate of return regulation, the irreversibility of much infrastructure investment significantly alters the results of the usual approach to price-setting, as exemplified by Marshall, Yawitz and Greenberg (1981). In particular, the practice of ‘o...

We use forward-looking and exogenous measures of output price uncertainty to examine the effect of price uncertainty on firm-level capital investment, risk management, and debt issuance. The effects of uncertainty vary significantly by firm size. When faced with high price uncertainty, large firms increase their hedging intensity but do not lower capital investment or debt issuance. In contrast...

Prior to the deregulation trend, electricity prices were highly regulated and were usually fairly predictable generators and wholesalers knew their production costs and revenues, and consumers knew their electricity costs. However, deregulation has caused electricity to become the most volatile of the commodities. Not only is the demand for electricity highly variable, but the inability to stor...

Air pollution in industrial cities with emissions from firms is a growing problem in India. Durgapur, one of the growing industrial cities in eastern India, covering a host of industries, suffers from similar problems. The paper estimates the marginal abatement cost of air pollution of industries in Durgapur, West Bengal. We model the technology of a firm with output-distance function. Here the...