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作者：Bhattacharya, S; Nicodano, G
作者单位：University of London; London School Economics & Political Science; University of Turin
摘要：We compare equilibrium trading outcomes with and without participation by an informed insider, assuming inflexible ex ante aggregate investment choices by agents. Noise trading arises from aggregate uncertainty regarding other agents' intertemporal consumption preferences. The welfare levels of outsiders can thus be ascertained. The allocations without insider trading are not ex ante Pareto efficient, because our model differs from standard ones with negative exponential utility functions and ...
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作者：Ferson, WE; Siegel, AF
作者单位：University of Washington; University of Washington Seattle
摘要：We study the properties of unconditional minimum-variance portfolios in the presence of conditioning information. Such portfolios attain the smallest Variance for a given mean among all possible portfolios formed using the conditioning information. We provide explicit solutions for n risky assets, either with or without a riskless asset. Our solutions provide insights into portfolio management problems and issues in conditional asset pricing.
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作者：Coval, JD; Shumway, T
作者单位：University of Michigan System; University of Michigan
摘要：This paper examines expected option returns in the context of mainstream asset-pricing theory. Under mild assumptions, expected call returns exceed those of the underlying security and increase with the strike price. Likewise, expected put returns are below the risk-free rate and increase with the strike price. S&P index option returns consistently exhibit these characteristics. Under stronger assumptions, expected option returns vary linearly with option betas. However, zero-beta, at-the-mone...
