We investigate how the spectral risk measure associated with holding stocks rather than a riskfree deposit, depends on the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock price follows specific processes, spectral risk becomes...

We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock price follows specific processes, spectral risk becomes...

To efficiently assess the performance of investing in stocks rather than in a bank account for the long run, stochastic interest rate modelling is advocated. We introduce a correlated stochastic interest rate model that addresses this problem. We derive analytic formulas for general spectral...

We introduce a dynamic principal-agent model to understand the nature of contracts between an employer and an independent gig worker. We model the worker's self-respect with an endogenous participation constraint; he accepts a job offer if and only if its utility is at least as large as his...

We introduce a dynamic principal-agent model to understand the nature of contracts between an employer and an independent gig worker. We model the worker’s self-respect with an endogenous participation constraint; he accepts a job offer if and only if its utility is at least as large as his...

We introduce a dynamic principal-agent model to understand the nature of contracts between an employer and an independent gig worker. We model the worker’s self-respect with an endogenous participation constraint; he accepts a job offer if and only if its utility is at least as large as his...

The COVID-19 pandemic provides a natural experiment to comprehensively test the effect of crowds on both referees and players. Our aim is to examine this from a North-American perspective using data from three major leagues: National Basketball Association (NBA), National Football League (NFL)...

The COVID-19 pandemic provides a natural experimental framework to comprehensively test the effect of crowds on both referees and players. We examine this from a North American perspective, using data from three major leagues: the National Basketball Association (NBA), National Football League...

We demonstrate that margin requirements of central counterparties show a significantly different behavior when calculated with a portfoliowise treatment instead of taking the weighted sum of the margin requirements of the components without accounting for their correlation structures. This is...