Portfolios are constructed to increase returns and manage risk. In high-risk investment strategies, central measures of risk must be complemented with tail measures of risk. An unanticipated event impacting securities of one firm can contagiously affect those of other firms through a contagion flow process. The connections between firms due to a variety of factors can spread the contagion, and ...

Safe and liquid assets, such as Treasury bonds, are money-like instruments that command a convenience yield. We analyze this in a search model of two assets that differ in liquidity and safety. In contrast to the reduced-form approach, which puts the safe and liquid asset in utility function, we explicitly model investors’ trading needs and the trading friction. One new insight from this approa...

Introducing extrapolation bias into a standard one-sector production-based real business cycle model with recursive preferences reconciles salient stylized facts about business cycles (low consumption volatility and high investment volatility relative to output) and financial markets (high equity premium, volatile stock returns, and a low and smooth riskfree rate) with low relative risk aversio...

19 1. How much should an individual invest in reproduction as it grows older? Answering 20 this question involves determining whether individuals measure their age as the time 21 left for future reproduction or as the rate of deterioration in their state. Theory 22 suggests that in the former case individuals should increase their allocation of 23 resources to reproduction as opportunities for ...

a r t i c l e i n f o The ASEAN–China free trade agreement went into effect January 1, 2010 and became the world's third largest FTA by trade volume after the European Economic Area and the North American Free Trade Agreement. This paper focuses on highlighting the impacts of the reduction of barriers to trade on investment in a dynamic general computable equilibrium framework. We present and c...

The focus on improving construction performance has been narrow in many nations using partnering, leanness and supply chain management. This paper asks three practical construction related questions concerning reinventing the wheel across projects, blame culture and continuity of service. In addressing these practical issues, three theories are engaged: organisational learning, emotional intell...

We study the effect of sovereign credit rating downgrades on firm investment and financial policy. We identify causal effects by exploiting the effect of sovereign downgrades on corporate ratings that is due to sovereign ceiling policies followed by rating agencies. We find that sovereign downgrades lead to greater decreases in investment and leverage of firms that are at the sovereign rating b...

Brain reward circuitry, including ventral striatum and orbitofrontal cortex, has been independently implicated in preferences for fair and cooperative outcomes as well as learning of reputations. Using functional MRI (fMRI) and a "trust game" task involving iterative exchanges with fictive partners who acquire different reputations for reciprocity, we measured brain responses in 36 healthy adul...

This paper evaluates the economic feasibility of an integrated production pathway combining fast pyrolysis and bio-oil gasification. The conversion process is simulated with Aspen Plus® for a 2000 metric ton per day facility. Techno-economic analysis of this integrated pathway has been conducted. A total capital investment of $510 million has been estimated and the minimum fuel selling price (M...

We propose a novel analytic approach for the comparative statics analysis of operations management problems on the capacity investment decision and the influenza (flu) vaccine composition decision. Our approach involves exploiting the properties of the underlying mathematical models, and linking those properties to the concept of stochastic orders relationship. The use of stochastic orders allo...