This paper studies the question of maximizing terminal wealth from expected utility in a multidimensional jump-diffusion model. The special feature of our approach is that the investor only observes the vector of stock prices, therefore leading to a partial information framework. Using non-linear filtering and change of measure techniques, we show that the optimization problem can be rewritten ...

The present paper accomplishes a major step towards a reconciliation of two conflicting approaches in mathematical finance: on the one hand, the mainstream approach based on the notion of no arbitrage (Black, Merton & Scholes); and on the other hand, the consideration of non-semimartingale price processes, the archetype of which being fractional Brownian motion (Mandelbrot). Imposing (arbitrari...

We consider a stochastic overlapping generations model for a continuum of individuals with finite lives in presence of a financial market. In this paper, agent’s heterogeneity is given by the dates of birth of the households, on the contrary to standard models, in which each agent has his own aversion coefficient on his utility function. By means of the martingale arguments, we compute the agen...

Using an extensive sample of environmental, social, and governance (ESG) ratings, we reexamine the corporate social responsibility (CSR) factor premium in developed equity markets between 2007 2019 show that its extent is contingent upon size effects. Consistent with novel market equilibrium, contend exponential growth socially responsible investment (SRI) has rendered risk-adjusted returns lar...

â â â â  reza roshan [1] â  department of economics, university of sistan and baluchestan , iran â  mosayeb pahlavani â  department of economics, university of sistan and baluchestan, iran â  mohammad nabi shahyaki tash â  department of economics, university of sistan and baluchestan, iran â  â â â  abstract â  consumption is the principal feature of iran’s gross national production. therefor...

the main logic behind the demand for life insurance is to hedge against the labor income uncertainty due to premature death of a wage earner. in other words, life insurance is the device by which this labor income uncertainty is handled. for insurers, the uncertainty arises from the lack of knowledge about the age of death of the wage earner. this paper attempts to derive life insurance demand ...

Using a unique database that includes publicly disclosed fund holdings at the end of quarter as well in all non-publicly months, we found some funds could alter their portfolios months to artificially increase Active Share scores and consequently appear more active take advantage positive relationship between money flows. We show how, consistent with non-informed trades, these erode future perf...

Increased concern for the environment has increased the number of investment opportunities in mutual funds specialized in promoting responsible environmental attitudes. This paper examines the performance and risk sensitivities of US green mutual funds vis-à-vis their conventional peers. We also analyze and compare this performance relative to other Socially Responsible Investing (SRI) mutual f...

An examination of survey responses about Individual Retirement Account (IRA) holdings reveals that individuals often take all-or-nothing approaches in their decisions to diversify across the asset categories of cash, bonds, and equity. Two thirds of survey respondents put their entire IRA holdings into a single asset category. A surprisingly large proportion of funds is held in cash, while only...

I examine the impact of happiness on economic behavior. I use self-reported happiness data from the DNB Household Survey from the Netherlands and the German SocioEconomic Panel. I consider changes in regional sunshine as an exogenous determinant of happiness. Both long-run and transitory increases in sunshine increase happiness. Instrumenting individual happiness with regional sunshine, I find ...