Using a complete set of the SEC filing information on hedge funds (Form ADV) and the TASS data, we develop a quantitative model called the ?-Score to measure hedge fund operational risk. The ?-Score is related to conflict of interest issues, concentrated ownership, and reduced leverage in the...

This paper models the interactions among product market innovation, product market competition, and corporate financing decisions in the context of a dynamic duopoly. One competitor faces an opportunity to adopt a new technology. If adopted, the firm must also determine whether it will obtain...

We provide evidence that time and risk preference norms tied to social identities help shape observed U.S. demographic patterns in economic outcomes. We identify the marginal effect of norms by measuring how laboratory subjects' choices change when an aspect of social identity is made salient....

This paper examines the pricing implications of time-variation in assets' market betas over the business cycle in a conditional CAPM framework. We use a half century of real GDP growth expectations from economists' surveys to determine forecasted economic states. This approach largely avoids the...

Experimental subjects allocate $10,000 across four S&P 500 index funds. Subject rewards depend on the chosen portfolio's subsequent return. Because the investments are not actually intermediated by the fund companies, portfolio returns are unbundled from non-portfolio services. The optimal...

In this study, we show how a dynamic insurance program can be implemented within a mean-variance framework. The approach combines elements of the single period safety first idea suggested by Telser and developed by Leibowitz with multiperiod insurance strategies like CPPI and TIPP. The insurance...

In the last few years, there has been a trend to enrich traditional revenue management models built upon the independent demand paradigm by accounting for customer choice behavior. This extension involves both modeling and computational challenges.One way to describe choice behavior is to assume...

In this paper, we present a unified approach to study a class of cooperative games arisingfrom inventory centralization. The optimization problems corresponding to the inventory games are formulated as stochastic programs. We observe that the strong duality of stochastic linear programming not...

We consider a queuing system with n customer classes and m servers. For eachclass i there is only a subset S(i) of servers that are able to process customer' i requests and they do that using a first-come-first-serve discipline. For this system, we are primarily interested in computing Pij , the...

We consider the problem of finding a low{rank approximate solution to a system of linearequations in symmetric, positive semidefinite matrices. Specifically, let A1; : : : ;Am 2 Rnpound;n symmetric, positive semidefinite matrices, and let b1; : : : ; bm cedil; 0. We show that if there exists a...