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Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)
We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ...
Optimal Consumption and Portfolio Choice with Loss Aversion
(2016-05-16)
This paper analyses the consumption-investment problem of a loss averse investor equipped with s-shaped utility over consumption relative to a time-varying reference level. Optimal consumption exceeds the reference level ...
Systemic Co-Jumps
(2016-10-10)
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ...
Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street?
(2016-12-12)
This paper examines whether investor mood, driven by World Health Organization (WHO) alerts and media news on globally dangerous diseases, is priced in pharmaceutical companies' stocks in the United States. We concentrate ...