In this paper, we study an optimal reinsurance model from the perspective of an insurer, who has a general mean-variance preference. In order to reduce ex post moral hazard, we assume that both parties in a reinsurance contract are obligated to pay more for a larger realization of loss. We...

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

Actively managed mutual funds have distinct return distributions from their passive benchmarks and our theoretical analysis using tail-sensitive risk preferences suggests that active value and growth funds may serve to reduce downside risk and capture upside potential, respectively. Furthermore,...