“...We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using dynamic programming. Previous literature, in contrast, only...”

“...We search for a trading strategy and the associated robust price of unhedgeable assets in incomplete markets under the acknowledgement of model uncertainty...”

“...We show that firms׳ idiosyncratic volatility obeys a strong factor structure and that shocks to the common idiosyncratic volatility (CIV) factor are priced...”

“...We develop a model of leverage that is amenable to laboratory implementation and gather experimental data. We compare two economies that only differ in one...”

“...We show that when the price process S represents a fully incomplete market, the optimal super-replication of any Markovian claim g ( S T ) with g ( ⋅ ) being...”

“...The allocation after an unanticipated event (often called an “MIT shock”) is different from the allocation of a corresponding complete-market model that...”

“...We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price...”

“...Extending Barro (1999) and Luttmer and Mariotti (2003), we introduce a new model of time preferences: the model. This model applies tractably to a much wider...”