When the planning horizon is long, and the safe asset grows indefinitely, iso-elastic portfolios are nearly optimal for investors who are close to iso-elastic for high wealth, and not too risk averse for low wealth. We prove this result in a general arbitrage-free, frictionless, semi-martingale...

Climate change is one of the greatest challenges facing our planet in the foreseeable future anddespite the urgency of the situation global GHG emissions are still increasing. In this context,and since future climate changes appear now unavoidable to some extent, adaptation measureshave recently...

We examine active retail mutual funds and institutional products with a mandate to invest ininternational equity markets between 1991 and 2009. Using global and regional factor models,we find no reliable evidence of alphas in the aggregate or on average. The right tail of thedistribution...

Limited liability creates a conict of interests between policyholders and shareholders ofinsurance companies. It provides shareholders with incentives to increase the risk of theinsurer's assets and liabilities which, in turn, might reduce the value policyholders attach toand premiums they are...

We develop a model of real investment and cash holdings in which firms face uncertaintyregarding their ability to raise funds in the capital markets and have to search for investorswhen raising outside capital. We provide an explicit characterization of the optimal investment,cash management,...

We find optimal trading policies for long-term investors with constant relative risk aversion and constant investment opportunities, which include one safe asset, liquid risky assets, and an illiquid risky asset trading with proportional costs. Access to liquid assets creates a diversification...

This paper investigates the optimal investment and consumption problem in a continuous-time financial market for investors with power utility on consumption, who face partially hedgeable interest rate risk. With no analytical solution to the optimal strategies, closed-form approximate strategies...

This paper proves a class of static fund separation theorems, valid for investors with a long horizon and constant relative risk aversion, and with stochastic investment opportunities. An optimal portfolio decomposes as a constant mix of a few preference-free funds, which are common to all...