I study the consequences of a random exposure to common risk for the purpose of relative performance evaluation (RPE) and find that it significantly affects the usefulness and the empirical measurement of RPE. According to my analysis, the magnitude of the exposure risk not only determines how...

Ortner et al. (Manage. Account. Res. 36(1):43–50, 2017) propose the State-Contingent Relative Benefit Cost Allocation Scheme as an incentive system for risky investment decisions. The note at hand reveals the information distribution implicitly assumed within the framework of this study. Based...

A direct relationship between the observed investment beliefs held by pension funds and performance measures is tested using an international sample of pension funds. Investment beliefs address strategic choices in the investment philosophy and process that affect the future performance of the...

Venture capital (VC) funds are supplied by a wide range of individual and institutional investors with varied risk profile. The funds vary in size and given funds life VC fund managers thus face two tiers of issues with liquidity and risk management. First the fund managers could face a set of...

This paper develops a dynamic option-based model for the valuation of rental and other similarly structured lease contracts under the conditions of uncertainty that is then solved by statistical simulation (Monte Carlo). The motivation, research background and methodology of the paper follow up...

The paper is organized in six chapters. For all interested readers chapter two contains a detailed explanation of the ABRM technique with numerical illustrations. For academic researchers in particular, chapter three provides a detailed discussion of the research methodology. For the corporate...

The authors have developed an easy-to-use approach, derived from financial portfolio theory, for determining which product(s) to eliminate. This approach takes into account the effect the product deletion will have on the overall rate of return and the overall risk of the product portfolio

Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital and tax), so management must also include XVA. In trading book management we focus on pricing, hedging, and allocation of prices or...

The term “equity premium puzzle” was coined in 1985 by economists Rajnish Mehra and Edward C. Prescott. The equity premium puzzle in considered one of the most significant questions in finance. A number of papers have explored the fundamental questions of why the premium exists and has not...