Discussion Papers

The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...

Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees...

Conventional wisdom posits that all the relevant investors’ information lies at the highest possible frequency of observation, so that long-run...

We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...

We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of...

We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...

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...

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

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...

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...

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