Most institutional investors gain access to commodities through diversified index funds, even though mean-reverting prices and low correlation among commodities returns indicate that two-fund separation does not hold for commodities. In contrast to demand for stocks and bonds, we find that, on...

A monopolist platform (the principal) shares profits with a population of affiliates (the agents), heterogeneous in skill, by offering them a common nonlinear contract contingent on individual revenue. The principal cannot discriminate across individual skill, but knows its distribution and aims...

A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment opportunities are constant, we find that the fund's...

We develop a method to fi nd approximate solutions, and their accuracy, to consumption-investment problems with isoelastic preferences and in nite horizon, in incomplete markets where state variables follow a multivariate di ffusion. We construct upper and lower contractions, fi ctitious...

This paper investigates the optimal investment and consumption problem in a continuous-time financial market for investors with power utility on consumption, who face partially hedgeable interest rate risk. With no analytical solution to the optimal strategies, closed-form approximate strategies...

This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete. Investment opportunities are driven by, and partially...

In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity...

For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we obtain explicitly the optimal investment policy, its implied welfare, liquidity premium, and trading volume. We...