We study optimal insurance, consumption and portfolio choice in a framework where a family purchases life insurance to protect the loss of the wage earner's human capital. Explicit solutions are obtained by employing CARA utility functions. We show that the optimal life insurance purchase is not...

Return jumps on equities exhibit slowly-decaying tail behavior admitting severe downside risk; moreover, heavy-tailed jump size distributions governing these rare events pose further challenges to econometric estimation. This paper formulates a portfolio choice problem in a multi-asset...

Cross-affiliation emerges as a new and fast-developing means to promote collaboration in financial research. We find that the average number of affiliations reported per author in the top-three finance journals increases steadily from 1.1 to 1.3 from 1995 to 2016. Scale-free power laws...

We study effects of correlation ambiguity on portfolio choice when the number of risky assets is large. We find that the optimal portfolio contains only a fraction of available risky assets. With 100 stocks randomly selected from the S&P 500, less than 20 stocks will be held in the optimal...

In this paper, first we study a stochastic volatility market model for which an explicit candidate solution to the problem of maximizing utility function of terminal wealth is obtained. Applying this result, we present a complete solution for the Heston model which is a particular case of the...