We present a comprehensive framework for comparing the merits of alternative portfolio insurance strategies in realistic contexts. Our findings add generality to previous results comparing option based and constant proportionality portfolio insurance strategies (OBPI and CPPI). The optimal OBPI...

We design average portfolio insurance (API) strategies with an investment floor and a buffer that is a power of a geometric average of the underlying asset price. We prove that API strategies are optimal for investors with hyperbolic absolute risk aversion who become progressively more risk...

The aim of this paper is to determine whether forward-looking option- implied returns forecasts lead to better out-of-sample portfolio performance than conventional time series models. We consider a simple two-asset setting with a risk-free asset and the S&P 500 index the risky asset with...

Generalizations of traditional preference criteria such as the Sharpe ratio, the information ratio and the Jensen alpha are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions. They are increasing functions of CERs and therefore equivalent...

There is a potential conflict of interest between a pension fund sponsor and future pensioners when they share unequally in the pension fund performance. Thus, when a scheme offers a yearly guaranteed minimum return to pensioners, as is presently the case with German Pensionskassen, the sponsors...

Constant proportion portfolio insurance (CPPI) strategies implemented in continuous time on asset prices following geometric Brownian processes are expected utility maximising for investors with HARA utilities. But, in reality, these strategies are implemented in discrete time and asset prices...

Individual attitudes towards multinational enterprises (MNEs) remains relatively understudied compared to individual attitudes towards other dimensions of globalization, particularly trade and immigration. In order to illuminate individual attitudes towards MNEs, this paper utilizes a large...

We consider the impact of breaking news on market prices by looking at activity on the micro-blogging platform Twitter surrounding the #bigotgate scandal during the 2010 UK General Election, and subsequent movements of betting prices on a prominent betting exchange, Betfair. We find that the...

We examine the effects of different kinds of domestic abuse (physical violence, emotional abuse, sexual abuse and physical violence while the victim is pregnant) on health outcomes of children born to victims. We use data on approximately 0.6 million children born between 1975 and 2013 across...