Optimal multi-period consumption and investment with short-sale constraints

Cataloged from PDF version of article.This article examines agents’ consumption-investment problem in a multi-period pure exchange economy where agents are constrained with the short-sale of state-dependent risky contingent claims. In equilibrum, agents hold options written on aggregate consumption in their optimal portfolios. Furthermore, under the specific case of quadratic utility, the optimal risk-sharing rule derived for the pricing agent leads to a multifactor conditional consumption-based capital asset pricing model (CCAPM), where excess option returns appear as factors. 2013 Elsevier Inc. All rights reserved

Volatility of aggregate volatility and hedge fund returns

This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the VIX index. We find that VOV exposure is a significant determinant of hedge fund returns. After controlling for fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross section of hedge fund returns. We corroborate our results using statistical and parameterized proxies of VOV over a longer sample period

Granulomatous hepatitis due to Bartonella henselae infection in an immunocompetent patient

<p>Abstract</p> <p>Background</p> <p><it>Bartonella henselae </it>(<it>B. henselae</it>) is considered a rare cause of granulomatous hepatitis. Due to the fastidious growth characteristics of the bacteria, the limited sensitivity of histopathological stains, and the non-specific histological findings on liver biopsy, the diagnosis of hepatic bartonellosis can be difficult to establish. Furthermore, the optimal treatment of established hepatic bartonellosis remains controversial.</p> <p>Case presentation</p> <p>We present a case of hepatic bartonellosis in an immunocompetent woman who presented with right upper quadrant pain and a five cm right hepatic lobe mass on CT scan. The patient underwent a right hepatic lobectomy. Surgical pathology revealed florid necrotizing granulomatous hepatitis, favoring an infectious etiology. Despite extensive histological and serological evaluation a definitive diagnosis was not established initially. Thirteen months after initial presentation, hepatic bartonellosis was diagnosed by PCR studies from surgically excised liver tissue. Interestingly, the hepatic granulomas persisted and <it>Bartonella henselae </it>was isolated from the patient's enriched blood culture after several courses of antibiotic therapy.</p> <p>Conclusion</p> <p>The diagnosis of hepatic bartonellosis is exceedingly difficult to establish and requires a high degree of clinical suspicion. Recently developed, PCR-based approaches may be required in select patients to make the diagnosis. The optimal antimicrobial therapy for hepatic bartonellosis has not been established, and close follow-up is needed to ensure successful eradication of the infection.</p

Volatility Risk and the Value Premium: Evidence from the French Stock Market

This paper documents that systematic volatility risk is an important factor that drives the value premium observed in the French stock market. Using returns on at-the-money straddles written on the CAC 40 index as a proxy for systematic volatility risk, I document significant differences between volatility factor loadings of value and growth stocks. Furthermore, when markets are classified into expected booms and recessions, volatility factor loadings are also time-varying. When expected market risk premium is above its average, i.e. during expected recessions, value stocks are seen riskier than their growth counterparts. This implies in bad times, investors shift their preferences away from value firms. Instead they use growth stocks as hedges against deteriorations in their wealth during those times. The findings are in line with the predictions of rational asset pricing theory and support a “flight-to-quality” explanation

Volatility Risk Priced in the Securities Market? Evidence from S&P 500 Index Options

The authors examine whether volatility risk is a priced risk factor in securities returns. Zero-beta at-the-money straddle returns of the S&P 500 index are used to measure volatility risk. It is demonstrated that volatility risk captures time variation in the stochastic discount factor. The results suggest that straddle returns are important conditioning variables in asset pricing, and investors use straddle returns when forming their expectations about securities returns. One interesting finding is that different classes of firms react differently to volatility risk. For example, small firms and value firms have negative and significant volatility coefficients, whereas big firms and growth firms have positive and significant volatility coefficients during high-volatility periods, indicating that investors see these latter firms as hedges against volatile states of the economy. Overall, these findings have important implications for portfolio formation, risk management, and hedging strategies. © 2007 Wiley Periodicals, Inc