The following research presents new properties of cointegrated time series that serve as a basis for a novel high frequency trading strategy. The expected profit of this strategy is always positive. Its practical implementation is illustrated using the daily closing prices of four world stock...

We consider portfolio allocation in which the underlying investment instruments are hedge funds. Benchmarks and conditional-value-at-risk motivate a family of utility functions involving the probability of outperforming a benchmark and expected shortfall from another benchmark. Non-normal return...

We use a version of the Grossman and Hart principal-agent model with 10 actions and 10 states to produce quantitative predictions for executive compensation. Performance incentives derived from the model are compared with the performance incentives of 350 firms chosen from a survey by Michael...

We use a version of the Grossman and Hart principal-agent model with 10 actions and 10 states to produce quantitative predictions for executive compensation. Performance incentives derived from the model are compared with the performance incentives of 350 firms chosen from a survey by Michael...

We Consider Four Utility Functions, Each Of Which Incorporates A Benchmark To Better Capture The Motivations Of Today's Portfolio Managers. Assuming Instrument Returns Are Normally Distributed, We Establish Conditions Under Which Optimal Portfolios For These Utilities Are Mean-Variance Efficient...