Past performance is no guarantee of future results. Potential for profi t is accompanied by possibility of loss. Commodities trading involves substantial risk of loss. Introduction Essential Beta (EB) is an investment strategy designed to achieve equity like returns with balanced portfolio volatility and a low correlation to equities. It does so by selecting the liquid markets that are essentia...

The value chain for energy and other commodities entails physical conversions through refineries, power plants, storage facilities, and transportation and other capital-intensive infrastructure. When the operation of such commodity conversion assets occurs alongside liquid markets for the input and output commodities, the operating flexibility of conversion assets can be managed as real options...

ing from the likely increase in saving and wealth, the implications of growth in institutions, notably life insurers and pension funds, for financing patterns arise from differences in behaviour from the personal sector, which would otherwise hold assets directly. As we showed in Tables 7-9, portfolios of long-term institutions vary widely, but in most cases, they hold a greater proportion of c...

We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity needs, with a model that accounts for both permanent and temporary price impact of trading. We first show that a risk-neutral investor who myopically deleverages his position to meet an immediate need for cash always prefers to sell more liquid assets. If the investor faces the...

Lower income households are at risk for material hardship, particularly amidst the economic fallout of COVID-19. Where one lives (e.g., suburb, small town) may affect this due to variable access resources, yet evidence is mixed concerning influence place. We used a pooled, national cross-sectional sample 66,046 lower-income tax filers examine differences in hardship rural, town, micropolitan, a...

We derive tractable necessary and sufficient conditions for the absence of buy-and-hold arbitrage opportunities in a perfectly liquid, one period market. We formulate the positivity of Arrow-Debreu prices as a generalized moment problem to show that this no arbitrage condition is equivalent to the positive semidefiniteness of matrices formed by the market price of tradeable securities and their...

We explore if traditional sharing norms in extended kinship systems distort consumption and accumulation decisions of poor black households in Kwazulu-Natal, South Africa. Our results suggest households try to evade their “sharing obligations” by (i) accumulating durables that are non-sharable at the expense of durables that may be shared, (ii) increasing consumption of non-durables, and (iii) ...

The majority of household wealth is held in illiquid forms such as home equity and retirement accounts. This paper presents a theoretical model which derives the optimal portfolio allocation between liquid and illiquid assets. The effect of income uncertainty on portfolio choice behavior is examined in detail. I show that the bulk of household savings can be optimally held in the illiquid form ...

Abstract This paper examines how fiscal transparency is linked to bank development. It also hypothesizes that the effect mediated by reasonable channel(s). Drawing upon a panel dataset of emerging and developing economies, we find positively related private credit ratio liquid assets, implying more transparent policies enhance Our regressions mediation analysis suggest on significantly transmit...

Secondary markets for long-term assets might be illiquid due to adverse selection. In a model in which moral hazard is confined to project initiation, I find that: (1) when agents expect a liquidity dry-up on such markets, they optimally choose to self-insure through the hoarding of non-productive but liquid assets; (2) such a response has negative externalities as it reduces ex-post market par...