One of the most important developments in international finance and resource economics in the past twenty years is the rapid and widespread emergence of the $6 trillion sovereign wealth fund industry. Oil exporters typically ignore below-ground assets when allocating these funds, and ignore...

This paper derives simple and plausible conditions under which ambiguityaversion raises the demand for (self-) insurance and self-protection when theeffort is furnished one period before the realization of the uncertainty. Unlikethe recent contribution made by [Alary D. Gollier C. Treich N....

This paper shows how risk may aggravate fluctuations in economies with imperfect insurance and multiple assets. A two period job matching model is studied, in which risk averse agents act both as workers and as entrepreneurs. They choose between two types of investment: one type is riskless,...

The aim of this paper is to examine portfolio management of emission allowances in the US Sulfur Dioxide Emissions Allowance Trading Program, to determine whether utilities have a real motive to bank when risk increases. We test a theoretical model linking the motivation of the firm to...

Investors need performance measures particularly as a means for funds selection inthe process of ex-ante portfolio optimization. Unfortunately, there are various performancemeasures recommended for different decision situations. Since an investor may be uncertainwhich kind of decision problem is...

The requirement of existing utility with positive first derivative only makes it pos-sible to derive a restricted two-fund separation theorem for portfolio selection problems withHARA utility replacing the original separation theorem of Cass and Stiglitz (1970). We useour findings for a brief...