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.

Consumers often perceive that the modern beef production system has an environmental impact far greater than that of historical systems, with improved efficiency being achieved at the expense of greenhouse gas emissions. The objective of this study was to compare the environmental impact of modern (2007) US beef production with production practices characteristic of the US beef system in 1977. ...

The question of why, in the annual mean, the Northern Hemisphere is warmer than the Southern Hemisphere is addressed, revisiting an 1870 paper by James Croll. We first show that the ocean is warmer than the land in general which, acting alone, would make the Southern Hemisphere warmer because of its greater fraction of ocean. Croll recognized this and thought it was caused by greater humidity a...

Wild maize (teosinte) has been reported to be less susceptible to pests than their modern maize (corn) relatives. Endophytes, defined as microbes that inhabit plants without causing disease, are known for their ability to antagonize plant pests and pathogens. We hypothesized that the wild relatives of modern maize may host endophytes that combat pathogens. Fusarium graminearum is the fungus tha...

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