We consider a version of the intertemporal general equilibrium model of Cox et al. (Econometrica 53:363–384, <CitationRef CitationID="CR10">1985</CitationRef>) with a single production process and two correlated state variables. It is assumed that only one of them, Y <Subscript>2</Subscript>, has shocks correlated with those of the economy’s output rate...</subscript></citationref>

We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the stochastic process that determines the variance of the underlying asset’s return. The option pricing formula of Heston (Rev Financ Stud 6(2):327–343, <CitationRef CitationID="CR43">1993</CitationRef>) is a particular case of...</citationref>

We consider a version of the intertemporal general equilibrium model of Cox et al. (1985a) with a single production process and two correlated state variables. It is assumed that only one of them, Y2, has shocks correlated with those of the economy's output rate and, simultaneously, that the...

We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the stochastic process that determines the variance of the underlying asset's return. The option pricing formula of Heston (1993) is a particular case of ours, corresponding to the case in...

Literature on dynamic portfolio choice has been finding that volatility risk has low impact on portfolio choice. For example, using long-run U.S. data, Chacko and Viceira (2005) found that intertemporal hedging demand (required by investors for protection against adverse changes in volatility)...

We introduce ambiguity about the variance of the risky asset's return in the model of Chacko and Viceira (2005) for dynamic consumption and portfolio choice with stochastic variance. We find that, with investors being able to update their portfolio continuously (as a function of the...

We apply a new bootstrap statistical technique to examine the performance of the U.S. openend, domestic-equity mutual fund industry over the 1975 to 2002 period. Specifically, we bootstrap the joint distribution of performance measures (\alphas) across all funds to determine whether managers of...

type="main" <title type="main">ABSTRACT</title> <p>Hedge fund managers are subject to several nonlinear incentives: performance fee options (call); equity investors' redemption options (put); and prime broker contracts allowing for forced deleverage (put). The interaction of these option-like incentives affects optimal...</p>