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...

Managers, typically, are unaware of the significant impact their decisions could have on the random mechanism driving a data generating process. Here, a new parametric Bayesian technique is introduced that would allow managers to obtain an estimate of the impact of their decisions on the...

The purpose of this paper is to present a novel method that is applied to detect dynamic changes in nonlinear time series. The method combines a multivariate control chart that monitors the variation of three normalized descriptors -- Hjorth's descriptors of activity, mobility and complexity --...

Using a model for pricing deposit guarantees that treats the bank's investments as a portfolio of default-free bonds and risky loans, the authors push back uncertainty to the level of the borrowing firm and thus are able to explore how factors like firm leverage, loan maturity, and correlation...

A study that uses principal-agent theory to produce quantitative predictions about executive compensation, showing that observed incentives closely match optimal predicted incentives.

This article presents a modification of Merton’s (1976) ruin option pricing model to estimate the implied probability of default from stock and option market prices. To test the model, we analyze all global financial firms with traded options in the US and focus on the subprime mortgage crisis...