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Long-Run Stockholder Consumption Risk and Asset Returns
Asset Pricing Stocks Investment Return Investment Portfolio Risk Management
2015/4/22
We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting micro-level household consumption data, we show that long-run stock...
The Impact of Trade Barriers on Mandated Biofuel Consumption in Canada
Trade Barriers Mandated Biofuel Consumption Canada
2014/4/11
In 2008 the Canadian government passed amendments to the Environmental Protection Act requiring five percent ethanol in transportation fuels sold in Canada by 2010 and two percent renewable content in...
The Impact of Trade Barriers on Mandated Biofuel Consumption in Canada
Trade Barriers Consumption
2014/4/11
In 2008 the Canadian government passed amendments to the Environmental Protection
Act requiring five percent ethanol in transportation fuels sold in Canada by 2010 and
two percent renewable conten...
Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients
Optimal investment consumption Black--Scholes market Lévy-driven stochastic coefficients
2010/12/20
In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black--Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornst...
Minimizing the Probability of Ruin when Consumption is Ratcheted
Self-annuitization optimal investment stochastic optimal control probability of ruin ratcheting of consumption
2010/12/20
We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. Given the rate of consumption, we act as financial advisers and find the optimal investmen...