Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds. However, under the specific functional form suggested by Tversky and Kahneman (1992) financial market equilibria do not...

The main purpose of this paper is to investigate the performance of Nigerian insurance companies using Data Envelopment Analysis (DEA). Because of the unavailability of the required data, the study is limited to ten Nigerian insurance companies for the period of five years from 2008 to 2012. The input employed were commission expenses and management expenses, while premium and investment income...

The widely used short-term debt such as overnight repos and commercial paper is regarded as one of the main sources of instability leading to the distress of many …nancial institutions during the …nancial crisis of 2007-2008. What explains the popularity of shortterm debt in …nancing asset market investments? Geanakoplos (2010) presents a dynamic model of the joint equilibrium of asset markets ...

At their worst, fires at the rural–urban or wildland–urban interface cause tragic loss of human lives and homes, but mitigating these fire effects through management elicits many social and scientific challenges. This paper addresses four interconnected management challenges posed by socially disastrous landscape fires. The issues concern various assets (particularly houses, human life and biod...

Under the assumptions of the Consumption-based Capital Asset Pricing Model (CCAPM), Pareto optimal consumption allocations are characterized by each agent’s consumption process being adapted to the filtration generated by the aggregate consumption process of the economy. The wealth processes of the agents, however, are adapted to the finer filtration generated by aggregate consumption and the c...

This article analyzes a dynamic general equilibrium under a generalization of Merton’s (1987) investor recognition hypothesis. A class of informationally constrained investors is assumed to implement only a particular trading strategy. The model implies that, all else being equal, a risk premium on a less visible stock need not be higher than that on a more visible stock with a lower volatility...

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