This paper summarizes the proceedings of the second Consumer Behavior and Payment Choice conference, held at the Federal Reserve Bank of Boston on July 25-27, 2006. These conferences are unique in featuring the collaboration of two groups of payments experts - the private-sector payments...

Long/short ratios like 130/30 are an increasingly common way for the investment management industry to describe portfolios that are released from the long-only constraint. The ratio of a portfolio's long and short positions to net notional value is often the primary description of the strategy,...

Control problems with Recursive Multiple-Priors Utility (RMPU) are higly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with Locally-Constrained-Entropy RMPU (LCE-RMPU) that is tractable even in...

This paper sets forth a new approach to state-owned banks grounded on portfolio theory and the principle of subsidiarity, so as to improve the governance of such institutions. Firstly, it defines what is meant by portfolio of portfolios and the separation feature, which leads to setting up what...

Experimental work on decision-making shows that, when people evaluate risk, they often engage in narrow framing: that is, in contrast to the prediction of traditional utility functions defined over wealth or consumption, they often evaluate risks in isolation, separately from other risks they...

Socially responsible investors are similar to conventional investors in some ways but different in others. Like conventional investors, socially responsible investors want high returns and low risk, but socially responsible investors also want their portfolios to conform to their values, whether...

Due to the complexity and heterogeneity of hedge fund strategies, assessing their performance is a challenging task. Reminiscent of the mutual fund industry, the literature has evolved in the direction of refining traditional measures (e.g. the Sharpe ratio) or introducing new ones. This paper...

We explore empirically whether earnings uncertainty and borrowing constraints deter households from the stockmarket, consistent with the predictions of theoretical studies of portfolio choice in the presence of uninsurable earnings. Recent extensions highlight the importance of the correlation...

What do we know about socially responsible investments? What distinguishes socially responsible companies from conventional companies? Should investors expect socially responsible investments to yield higher or lower returns than conventional investments? What has been the performance of...

In this paper I ask whether a model of firm capital accumulation with entry and exit calibrated to match the investment regularities of U.S. establishments is capable of generating the dependence of firrm dynamics on size and age. Firms face uncertainty in the form of idiosyncratic productivity...