Mathematical finance explores the consistency relationships between the prices of securities imposed by elementary economic principles. Commonplace among these are replicability and the absence of arbitrage, both essentially algebraic constraints on the valuation map from a security to its...

Conjugate duality relationships are pervasive in matching and implementation problems and provide much of the structure essential for characterizing stable matches and implementable allocations in models with quasilinear (or transferable) utility. In the absence of quasilinearity, a more...

An interesting puzzle in corporate finance is the weak sensitivity of disciplinary action against CEO to poor firm performance. I show that this weak relation is in part driven by an overlooked alternative to firing, which in practice takes the form of splitting the CEO-Chairman role or demoting...

This paper studies the utility maximization problem on the terminal wealth with both random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios defined via the consistent price system...

Using results from convex analysis, we investigate a novel approach to identification and estimation of discrete choice models which we call the “Mass Transport Approach” (MTA). We show that the conditional choice probabilities and the choice specific payoffs in these models are related in...