The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We propose new and simple financial...

Robert C. Merton is the School of Management Distinguished Professor of Finance at Massachusetts Institute of Technology, and the John and Natty McArthur University Professor Emeritus at Harvard University. Merton received the Alfred Nobel Memorial Prize in Economic Sciences in 1997 for a new...

The value added by an active investor is traditionally measured using alpha, tracking error, and the information ratio. However, these measures do not characterize the dynamic component of investor activity, nor do they consider the time horizons over which weights are changed. In this paper, we...

Economic shocks can have diverse effects on financial market dynamics at different time horizons, yet traditional portfolio management tools do not distinguish between short- and long-term components in alpha, beta, and covariance estimators. In this paper, we apply spectral analysis techniques...

Biomedical innovation in oncology has become riskier and more expensive, precipitating a withdrawal of private sector funding from the sector. In this article, we consider a portfolio-based approach to funding in which multiple distinct ovarian cancer treatment candidates are funded within a...

We propose an evolutionary framework for optimal portfolio growth theory in which investors subject to environmental pressures allocate their wealth between two assets. By considering both absolute wealth and relative wealth between investors, we show that different investor behaviors survive in...

Advances in financial technology have made tax-loss harvesting strategies more feasible for retail investors. We evaluate the magnitude of this “tax alpha” using historical data from the Center for Research in Securities Prices monthly database for the 500 securities with the largest market...

We analyze the financial performance of a hypothetical portfolio of 120 mRNA vaccine candidates in the preclinical stage targeting 11 emerging infectious diseases. We calibrate the simulation parameters with input from domain experts in mRNA technology and an extensive literature review. We find...

Impact investing typically involves ranking and selecting assets based on a non-financial impact factor, such as the environmental, social, and governance (ESG) score, the amount of carbon emissions, and the prospect of developing a disease-curing drug. We develop a framework for constructing...