We provide evidence that trading frictions have an economically important impact on the execution and the profitability of option strategies that involve writing out-of-the money put options. Margin requirements, in particular, limit the notional amount of capital that can be invested in the strategies and force investors to close down positions and realize losses. The economic effect of frictions is stronger when the investor seeks to write options more aggressively. Although margins are effective in reducing counterparty default risk, they also impose a friction that limits investors from supplying liquidity to the option market.

We derive the optimal portfolio choice over the life-cycle for households facing labor income, capital market, and mortality risk. In addition to stocks and bonds, households also have access to incomplete annuity markets offering a hedge against mortality risk. We show that a considerable fraction of wealth should be annuitized to skim the return enhancing mortality credit. The remaining liquid wealth (stocks and bonds) is used to hedge labor income risk during work life, to earn the equity premium, and to ensure estate for the heirs. Furthermore, we assess the importance of common explanations for

We shall provide in this paper good deal pricing bounds for contingent claims induced by the shortfall risk with some loss function. Assumptions we impose on loss functions and contingent claims are very mild. We prove that the upper and lower bounds of good deal pricing bounds are expressed

The term ‘no-good-deal pricing ’ in this paper encompasses pricing techniques based on the absence of attractive investment opportunities – good deals – in equilibrium. We borrowed the term from [8] who pioneered the calculation of price bands conditional on the absence of high Sharpe Ratios

Abstract: We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is too high in comparison to the utility of its price. Forbidding good deals induces, via duality, restrictions on pricing kernels

We consider a general model of the non-cooperative provision of a public good. Under very weak assumptions there will always exist a unique Nash equilibrium in our model. A small redistribution of wealth among the contributing consumers will not change the equilibrium amount of the public good

Abstract not found

Abstract not found

The online version of this article, along with updated information and services, is located on the

education? Many campuses around the country are asking this question. To provide a focus for their work, we offer seven principles based on research on good teaching and learning in colleges and universities. Good practice in undergraduate education: 1. Encourages contacts between students and faculty. 2