We demonstrate how it is possible to generate value for an investor with a hedge attached to the buy-and-hold strategy of a S&P 500 index fund. We study the S&P 500 index portfolio (not including dividends) and the CRSP value weighted S&P 500 index portfolio (including dividends) for...

How is it possible to successfully time the stock market using publicly available information if the market prices evolve according to a random walk in a rational market? Our paper answers this question by providing nine strategies to time the S&P500 index, using two specific real variables as...

In this note we document interactive relations between the excess volatility and the momentum effect in the cross-section of stock returns over the sample periods of 1963-1989, 1990-2010 and 1963-2010, along the line explored lately in Wang and Ma (2014). The nature of interactive relations...

Luminescence thermometry based on the variation of the fluorescence intensity ratio (FIR) of rare-earth materials has become fascinating owing to their applicability in chemically and electromagnetically harsh environments. Relevant to their practical applicability, a wide temperature sensing...

Consider a society with a finite number of individuals. A coalition structure is a partition of the set of individuals. Each individual has personal preferences over the set of all coalition structures. We study the strategy proof core and von Neumann and Morgenstern (vN&M) solutions. A roommate...

Roth and Vande Vate (1991) studied the marriage problem and introduced the notion of truncation strategies and showed in an example that the unstable matchings can arise at Nash equilibria in truncations. This paper studies the college admissions problem and shows that all rematching proof or...

This paper studies the English (progressive) auction for an exchange economy with multiple objects. The English auction is a tatonnement process and lasts multiple rounds. It is modeled as a sequence of round games. Each round game is a normal form game in which an agent's strategies are his...

This paper studies a production economy with indivisibilities. We provide a characterization for all Walraian equilibria and a necessary and sufficient condition for the existence of Walrasian equilibrium. We find a sufficient condition for every descening (ascending) price process to converge...

This paper studies an exchange economy with a finite number of agents in which each agent is initially endowed with a finite number of (personalized) indivisible commodities. We observe that the core equivalence theorem may not hold for this economy when the coalitional form game is generated in...