Discussion Papers

The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...

Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the...

While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...

The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...

This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...

We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When...

We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of...

This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...

Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally...

We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When...

Economics and game theory are replete with examples of parameterized games. We show that all minimal Nash payoff USCOs belonging to the Nash...

For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...

We establish a new fixed point result for measurable-selection-valued correspondences with nonconvex and possibly disconnected values arising from the...

A central bank’s forecast must contain some assumption about the likely future path for its own policy-determined short-term interest rate. Most of...

Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential...

We analyse bank runs under fundamental and asset liquidity risk, adopting a realistic description of bank default. We obtain an unique run equilibrium...