We study the convexity property of the set QF of arbitrage-free prices of a multiperiod financial structure F . The set of arbitrage-free prices is shown to be a convex cone under conditions on the financial stucture F that hold in particular for short lived assets. Furthermore, we provide examples of equivalent financial structures F and F ′ such that QF is a convex cone, but QF ′ is neither c...

Mediating heterogeneous data sources heavily relies on explicit domain knowledge expressed, for example, as ontologies and mapping rules. We discuss the use of logic representations for mapping schema elements onto concepts expressed in a simplified ontology for cultural assets. Starting with a logic representation of the ontology, criteria for a rule-based schema matching are exemplified. Spec...

We focus on structural models in corporate finance with roll-over debt structures in the vein of Leland (1994) and Leland and Toft (1996). We show that these models incorrectly assume that the optimal default is defined by the first time such that the firm’s assets reaches a sufficiently low positive threshold that must be optimally determined. We characterize the optimal default policy and exp...

Abstract: This paper investigates whether various components of wealth affect real consumption asymmetrically through a threshold adjustment model. The empirical findings for the U.S. show that only stock market assets, financial assets including stock market assets, and household net assets exert a practical wealth effect on consumption expenditure. By contrast, financial assets excluding stoc...

Tangible assets, many of which can be easily collateralized, support debt. Accordingly, the amount of tangible assets is well-established as a principal driver of leverage. As investing is shifting more and more from tangible to intangible assets, it becomes crucial to understand to what extent intangible assets support debt. Analyzing this question empirically has been largely unfeasible due t...

 Rollover IRAs account for 43.2 percent of all IRA and Keogh assets, with regular IRA assets following very closely behind at 42.7 percent, while Roth IRAs account for 11.1 percent and Keoghs 3.0 percent. Among total IRA assets, rollover IRAs account for 44.5 percent of assets, regular IRAs 44.1 percent, and Roth IRAs 11.4 percent. Therefore, rollover IRAs account for a larger share of assets ...

1 Variables collected 1.1 Household and individual level 1. Assets (a) Movable assets i. Livestock: Sum of all livestock assets owned by respondents in Kenyan Shillings, including cows, small livestock, and birds. ii. Furniture: Value of cupboards, sofas, chairs, tables, clocks, stoves, and beds as self reported in Kenyan Shillings. iii. Agricultural tools: Value of farming tools, wheelbarrows,...

Consider the market structures that can be used to solve the problem of allocating resources in a stochastic economy that is an economy whose characteristics depend upon time and uncertainty. Arrow-Debreu contingent markets involve trading all future goods at the initial date: the equilibria of this market structure are well understood [Debreu (1959, ch. 7)]. A second market structure consists ...

This paper investigates the circumstances under which negotiating simultaneously over multiple issues or assets helps reduce ineffi ciencies due to the presence of asymmetric information. Consider the case where one agent controls all assets. One would expect that strong substitutabilities among assets, would help trade, as the seller would value the additional units less. We show that this int...