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The insight for management: SSDPB adopters also show significant improvement in operating performance relative to nonadopters. Contribution : A measure of diversity Empirical Research ¡¤‹’l’l+’ü“l CCdCA*CCª~ =óZXŸ¨1Worst-Case Value at Risk of Nonlinear Portfolios¡22C$Ÿ ä Steve Zymler, Daniel Kuhn, Berç Rustem Management Science 59(1), pp. 172 188¡H h CCZCª>4ó Ÿ¨Motivation and Contribution¡GŸ¨T VAR WVAR WPVaR WQVaR¡V‚‚9‚4ª,5ó[YŸ¨ Contribution¡ GŸ¨ªThe insight for management: Advances in portfolio optimization with considerable downside risk allow for more tractable portfolio optimization. updating of old problem¡,«‚’CCó\ZŸ °The Role of Experience Sampling and Graphical Displays on One s Investment Risk Appetite¡YYCŸª ó][Ÿ¨ Motivation¡ GŸ¨ÅAccording to standard models of portfolio choice or lifetime consumption, households should invest at least a small fraction of their wealth into the stock market as soon as they start saving.(56% in the United States, 36% in the Netherlands, 23% in Great Britain and Northern Ireland, and 6% in Germany) Participation: financial professionals should provide clients with tools that better explain risk-return profiles of investment opportunities.¡ž?’lJ“l­?’lB“l6C5CGGCó"Ÿ¨ Methodology¡ GŸ¨risk-presentation modes¡“Øó#Ÿ¨Conciusion and contrubution¡Gª$  Ÿ ZA risk presentation format that incorporates experience sampling and distributions of returns may help investors by increasing decision commitment, confidence, and recall ability as well as reducing known biases as the overestimation of the loss probability. These factors result in an increased willingness to accept risk in one s portfolio. The insight for management: Presenting fund performance graphically changes the perception of the desirability of the investment Contribution: Comprehensive research of risk-presentation; Methodology: Experiment ¡xç’lF’ü’lWCCtCFCCª,ó% Ÿ Ì Solving Constrained Consumption Investment Problems by Simulation of Artificial Market Strategies ¡$gcCŸ ö Björn Bick, Holger Kraft, Claus Munk Management Science 59(2), pp. 485 503, Capital asset pricing and portfolio theory¡†'“l‚'“l’l-JCC-ªFUó^\Ÿ¨ Motivation ¡.$ GŸ¨Ý Utility-maximizing consumption and investment strategies in closed form are unknown for realistic settings involving portfolio constraints, incomplete markets, and potentially a high number of state variables. ¡‚@’lŽ“l “l’l“l’lÚCó&!Ÿ¨ Contribution ¡:G G#ªŸ¨'The authors propose a numerical procedure that Combines the abstract idea of artificial, unconstrained complete markets, well- known closed-form solutions in affine or quadratic return models, straightforward Monte Carlo simulation, and a standard iterative Optimization routine (SAMS).¡* “l(Có)$Ÿ¨<Market Crashes, Correlated Illiquidity, and Portfolio Choice¡==C Ÿ „ Hong Liu, Mark Loewenstein Management Science 59(3), pp. 715 732¡&CPBCª 'ó_]Ÿ¨ Motivation¡ GŸ¨U The recent financial crisis highlights several potentially important fundamental elements for optimal portfolio choice. First, event risks such as a market crash may be significant; second, market Liquidity may dry up after a crash; third, the probability of another crash may increase after a crash; and fourth, other investment opportunity set parameters (e.g., market volatility) may also change after a crash. The optimal trading strategy in the presence Of market crashes that can trigger changes in the investment opportunity set has not been studied in the existing literature. ¡º’l‚F’lP]“lPPG’lPi“lPPRCGGó62Ÿ¨Contribution and conclusion¡GŸ¨Contribution we develop a flexible portfolio choice model where market crashes can trigger switching into another regime with a different investment opportunity set. (updating of old problem) Conclusions In contrast to standard portfolio choice models, changes in the investment opportunity set in one regime can affect the optimal trading strategy in another regime even in the absence of transaction costs. The insight for management: Portfolio choice might change dramatically in the case of broad shifts in market prices.¡Æ’lZµZ ’lZÑ“ØZ4’lZB“lZ G·C GÑCC[Có73Ÿ¨.Intertemporal CAPM with Conditioning Variables¡//C"ª "Ÿ¨ ¡0’تó`^Ÿ¨ Motivation¡ GŸ¨ ¡0’تóUSŸ¨Conclusions and contribution¡GŸ¨ The author finds that the scaled ICAPM performs well in general,and prices particularly well the momentum portfolios. It compares favorably with alternative asset pricing Models in pricing both sets of equity portfolios. Furthermore, the scaled factor is decisive to account for the dispersion in average excess returns between past winner and past loser stocks. The insight for management: A time-varying cash-flow beta/price of risk provides a rational explanation for momentum. Contribution: Model updating ,nearer to realization ¡°Z9’lZB“lZõZ7’lZA“lZZ5’lZq’ª$9 Úó+&Ÿ¨MIndividual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond ¡$NLC"ªM  Ÿ œ Douglas W. Blackburn, Andrey D. Ukhov Management Science 59(2), pp. 470 484¡(O“pNCª,'óa_Ÿ¨ Motivation¡ GŸ¨  The relation between risk preferences of individual agents in the economy and the attitude toward risk in the aggregate is fundamental in financial economics. The asset-pricing literature has grown in two important directions. The first line of literature focuses on the aggregate market. ( explain fundamental aggregate market characteristics such as expected returns and volatility). The second line of literature focuses on the behavior of Individuals It is only by aggregating individual demands that we can determine how individual behavior impacts aggregate prices. Yet this is a critical gap in the literature. This paper makes several important statements regarding the relationship between the aggregate economy and the individuals supporting the economy.¡œ’pPD’lP^“lPE’lPè“lP:’lP“lP CóVTŸ¨Conclusion and Contribution ¡D GGGª0     Ÿ¨”we demonstrate that the difference between individual preferences and aggregated preferences can be large.( risk seekers. can lead to an aggregate economy that is risk averse. The converse is also true. (perfect competition, the existence of budget constraints, and agent heterogeneity) The insight for management: Understanding the relationship between the preferences of individuals and the preferences of the aggregate economy is crucial for understanding the connection between the behavioral finance literature, which focuses on individual preferences, and the asset-pricing literature, which focuses on aggregate prices. 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management: New approaches to solving consumption investment problems to near optimality allow for more efficient solution times.¡(’CwCª‘ðx ðÄ 3 ðr€\åÚ��_‚жƒ�_„ж…‡¿�ƒ¿ Àÿ?¿ÿ“"ñ6@¿ ÿÀ¿‚‚N¿NÿN?Nð“ ž(z 𘟨, Contribution :New approaches of old problem¡,-  ª+ðH ðÄ ƒ ð0�ƒ“ŽŸ‹”Þ½h¿ÿ ?ð ÿÿÿÝÝÝ£²ÁÌ3f™3fˆ‘Љº___PPT10‹ië.‚Ê0„%+Dñ='ñ nÿÿÿÿ=ñ @Bñ +îóï € 0  ð0ðÐðšð( ð ðÐðx ðÐ c ð$€ UÞ¿ÿ ˆð<þðà  Þ ð žðx ðÐ c ð$€€VÞ¿ÿ ˆð/€´ðà Þ ð žðb ðÐ 3 ðr€0/¯ ��_‚жƒ�_„ж…‡¿�ƒ¿ Àÿ?¿ÿ“"ñ6@¿ ÿÀ¿‚‚N¿NÿN?NðV ÌÉ =  ð‚Ÿ¨*Capital asset pricing and portfolio theory¡"+ö oA+ª*ðH ðÐ ƒ ð0�ƒ“ŽŸ‹”Þ½h¿ÿ ?ð ÿÿÿÝÝÝ£²ÁÌ3f™3fˆ‘Љº___PPT10‹ië.‚Ê0„%+Dñ='ñ nÿÿÿÿ=ñ @Bñ +î‰ï € 0  ð˜`ðÜð0ð( ð ðÜðx ðÜ c ð$€X†Ë¿ÿ ˆðž´þðà  Ë ð žðx ðÜ c ð$€à�Ë¿ÿ ˆð/€´ðà Ë ð žðH ðÜ ƒ ð0�ƒ“ŽŸ‹”Þ½h¿ÿ ?ð ÿÿÿÝÝÝ£²ÁÌ3f™3fˆ‘Љº___PPT10‹ië.‚Ê0„%+Dñ='ñ nÿÿÿÿ=ñ @Bñ +î‰ï € 0  ð˜ðð0ð( ð ððx ð c ð$€(kÞ¿ÿ ˆð¤DZ¢ðà  Þ ð žðx ð c ð$€lÞ¿ÿ ˆð/Ì€Hðà Þ ð žðH ð ƒ ð0�ƒ“ŽŸ‹”Þ½h¿ÿ ?ð ÿÿÿÝÝÝ£²ÁÌ3f™3fˆ‘Љº___PPT10‹ië.‚Ê0„%+Dñ='ñ nÿÿÿÿ=ñ @Bñ +î™ï € 0 °ð¨ ð ð@ð( ð ð ðx ð  c ð$€Ä}Þ¿ÿ ˆð€þðà  Þ ð žðx ð  c ð$€¤~Þ¿ÿ ˆð/Ì€Hðà Þ ð žðž ð  3 ðr€„²È��_‚жƒ�_„ж…‡¿�ƒ¿ Àÿ?¿ÿ“"ñ6@¿ ÿÀ¿‚‚N¿NÿN?Nð"ß¶ 𾟠`Paulo Maio Management Science 59(1), pp. 122 141¡11ª$&ðb ð  3 ðr€ÈY¯ ��_‚жƒ�_„ж…‡¿�ƒ¿ Àÿ?¿ÿ“"ñ6@¿ ÿÀ¿‚‚N¿NÿN?NðÞ ý Å  ð‚Ÿ¨*Capital asset pricing and portfolio theory¡"+ö oA+ª*ðH ð  ƒ ð0�ƒ“ŽŸ‹”Þ½h¿ÿ ?ð ÿÿÿÝÝÝ£²ÁÌ3f™3fˆ‘Љº___PPT10‹ië.‚Ê0„%+Dñ='ñ nÿÿÿÿ=ñ @Bñ +îÛï € 0 òðêpðàð‚ð( ð ðàðx ðà c ð$€¸¾Ë¿ÿ ˆðj€þðà  Ë ð žðx ðà c ð$€ô­Ë¿ÿ ˆð/Ì€Hðà Ë ð žð¢ ðà # ðl€€œçË��_‚жƒ�_„ж¿�ƒ¿ Àÿ?¿ÿ?“"ñ6@¿`ÿÀ¿‚‚N¿NÿN?Nð×  ð9Ÿ¨ICAPM¡ 2ðœ ðà # ðl„€ØµÈ��_‚жƒ�_„ж¿�ƒ¿ Àÿ?¿ÿ?“"ñ6@¿`ÿÀ¿‚‚N¿NÿN?Nð]¢W� ðŸ¨�Common to these papers is the assumption that the factor betas/risk prices in the expected return-beta representation are constant through time.¡‘‘ðâ ðà # ðl€€Ì]È��_‚жƒ�_„ж¿�ƒ¿ Àÿ?¿ÿ?“"ñ6@¿`ÿÀ¿‚‚N¿NÿN?NðC¢”E ð韨¹The beta/price of risk of aggregate cash-flow news is assumed to be time varying, the conditional cash-flow beta is assumed to be linear in a state variable, leading to a scaled ICAPM that contains three factors: 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¬€ÿÿ¯\¬¯!¬¯]¬€ÿÿ¯2¬€ÿÿ¯&¬€ÿÿ¯_¬€ÿÿ¯T¬€ÿÿ?Ù Ú %ð‹9óŸ¨Management Science (2013) 1-3¡$Ÿ  ‹s }Z ¡ªób`Ÿ¨Summary ¡ Ÿ¨ ¡ªóWUŸ¨Diversity and Performance¡C$Ÿ | Feng Li, Venky Nagar Management Science 59(3), pp. 529 544¡"?;Cª4,óXWŸ¨ Motivation¡ GŸ¨ÞDiversity: open to new ideas and opportunities Performance: Finance and operating This empirical investigation is valuable because strong theoretical arguments exist both in support of diversity and against it. ¡ŽT’l†“l’l“l’lTCC †CóŸ¨!Methodology - Empirical Research ¡8"GGª!Ÿ¨‘Diversity: open to new ideas and opportunities same-sex domestic partnership benefit (SSDPB) policies (the calendar portfolio approach) ¡š/’l>’l’l‚/="óTRŸ¨Conclusion and Contribution¡GŸ ŠThe results show that holding these firms upon their SSDPB initiation in a calendar portfolio earns a four-factor annualized excess return (alpha) of approximately 10%over the 1995 2008 sample period, beating 95% of all professional mutual funds in the United States. The insight for management: SSDPB adopters also show significant improvement in operating performance relative to nonadopters. Contribution : A measure of diversity Empirical Research ¡¤‹’l’l+’ü“l CCdCA*CCª~ =óZXŸ¨1Worst-Case Value at Risk of Nonlinear Portfolios¡22C$Ÿ ä Steve Zymler, Daniel Kuhn, Berç Rustem Management Science 59(1), pp. 172 188¡H h CCZCª>4ó Ÿ¨Motivation and Contribution¡GŸ¨T VAR WVAR WPVaR WQVaR¡V‚‚9‚4ª,5ó[YŸ¨ Contribution¡ GŸ¨ªThe insight for management: Advances in portfolio optimization with considerable downside risk allow for more tractable portfolio optimization. updating of old problem¡,«‚’CCó\ZŸ °The Role of Experience Sampling and Graphical Displays on One s Investment Risk Appetite¡YYCŸª ó][Ÿ¨ Motivation¡ GŸ¨ÅAccording to standard models of portfolio choice or lifetime consumption, households should invest at least a small fraction of their wealth into the stock market as soon as they start saving.(56% in the United States, 36% in the Netherlands, 23% in Great Britain and Northern Ireland, and 6% in Germany) Participation: financial professionals should provide clients with tools that better explain risk-return profiles of investment opportunities.¡ž?’lJ“l­?’lB“l6C5CGGCó"Ÿ¨ Methodology¡ GŸ¨risk-presentation modes¡“Øó#Ÿ¨Conciusion and contrubution¡Gª$  Ÿ ZA risk presentation format that incorporates experience sampling and distributions of returns may help investors by increasing decision commitment, confidence, and recall ability as well as reducing known biases as the overestimation of the loss probability. These factors result in an increased willingness to accept risk in one s portfolio. The insight for management: Presenting fund performance graphically changes the perception of the desirability of the investment Contribution: Comprehensive research of risk-presentation; Methodology: Experiment ¡xç’lF’ü’lWCCtCFCCª,ó% Ÿ Ì Solving Constrained Consumption Investment Problems by Simulation of Artificial Market Strategies ¡$gcCŸ ö Björn Bick, Holger Kraft, Claus Munk Management Science 59(2), pp. 485 503, Capital asset pricing and portfolio theory¡†'“l‚'“l’l-JCC-ªFUó^\Ÿ¨ Motivation ¡.$ GŸ¨Ý Utility-maximizing consumption and investment strategies in closed form are unknown for realistic settings involving portfolio constraints, incomplete markets, and potentially a high number of state variables. ¡‚@’lŽ“l “l’l“l’lÚCó&!Ÿ¨ Contribution ¡:G G#ªŸ¨'The authors propose a numerical procedure that Combines the abstract idea of artificial, unconstrained complete markets, well- known closed-form solutions in affine or quadratic return models, straightforward Monte Carlo simulation, and a standard iterative Optimization routine (SAMS).¡* “l(Có)$Ÿ¨<Market Crashes, Correlated Illiquidity, and Portfolio Choice¡==C Ÿ „ Hong Liu, Mark Loewenstein Management Science 59(3), pp. 715 732¡&CPBCª 'ó_]Ÿ¨ Motivation¡ GŸ¨U The recent financial crisis highlights several potentially important fundamental elements for optimal portfolio choice. First, event risks such as a market crash may be significant; second, market Liquidity may dry up after a crash; third, the probability of another crash may increase after a crash; and fourth, other investment opportunity set parameters (e.g., market volatility) may also change after a crash. The optimal trading strategy in the presence Of market crashes that can trigger changes in the investment opportunity set has not been studied in the existing literature. ¡º’l‚F’lP]“lPPG’lPi“lPPRCGGó62Ÿ¨Contribution and conclusion¡GŸ¨Contribution we develop a flexible portfolio choice model where market crashes can trigger switching into another regime with a different investment opportunity set. (updating of old problem) Conclusions In contrast to standard portfolio choice models, changes in the investment opportunity set in one regime can affect the optimal trading strategy in another regime even in the absence of transaction costs. The insight for management: Portfolio choice might change dramatically in the case of broad shifts in market prices.¡Æ’lZµZ ’lZÑ“ØZ4’lZB“lZ G·C GÑCC[Có73Ÿ¨.Intertemporal CAPM with Conditioning Variables¡//C"ª "Ÿ¨ ¡0’تó`^Ÿ¨ Motivation¡ GŸ¨ ¡0’تóUSŸ¨Conclusions and contribution¡GŸ¨ The author finds that the scaled ICAPM performs well in general,and prices particularly well the momentum portfolios. It compares favorably with alternative asset pricing Models in pricing both sets of equity portfolios. Furthermore, the scaled factor is decisive to account for the dispersion in average excess returns between past winner and past loser stocks. The insight for management: A time-varying cash-flow beta/price of risk provides a rational explanation for momentum. Contribution: Model updating ,nearer to realization ¡°Z9’lZB“lZõZ7’lZA“lZZ5’lZq’ª$9 Úó+&Ÿ¨MIndividual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond ¡$NLC"ªM  Ÿ œ Douglas W. Blackburn, Andrey D. Ukhov Management Science 59(2), pp. 470 484¡(O“pNCª,'óa_Ÿ¨ Motivation¡ GŸ¨  The relation between risk preferences of individual agents in the economy and the attitude toward risk in the aggregate is fundamental in financial economics. The asset-pricing literature has grown in two important directions. The first line of literature focuses on the aggregate market. ( explain fundamental aggregate market characteristics such as expected returns and volatility). The second line of literature focuses on the behavior of Individuals It is only by aggregating individual demands that we can determine how individual behavior impacts aggregate prices. Yet this is a critical gap in the literature. This paper makes several important statements regarding the relationship between the aggregate economy and the individuals supporting the economy.¡œ’pPD’lP^“lPE’lPè“lP:’lP“lP CóVTŸ¨Conclusion and Contribution ¡D GGGª0     Ÿ¨”we demonstrate that the difference between individual preferences and aggregated preferences can be large.( risk seekers. can lead to an aggregate economy that is risk averse. The converse is also true. (perfect competition, the existence of budget constraints, and agent heterogeneity) The insight for management: Understanding the relationship between the preferences of individuals and the preferences of the aggregate economy is crucial for understanding the connection between the behavioral finance literature, which focuses on individual preferences, and the asset-pricing literature, which focuses on aggregate prices. Contribution: new problem¡¬D’lH“p—“l<’l6“l#CC=CG Cêr%õõT� õuHbÅ1èHSé(€àà€   × ÓºBhttp://dict.baidu.com/s?wd=methodºBhttp://dict.baidu.com/s?wd=method× ÓºBhttp://dict.baidu.com/s?wd=methodºB þÿÿÿþÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿþÿÕÍÕœ.“—+,ù®DÕÍÕœ.“—+,ù®˜Tˆ�¨¼ÄÌÔ Ü äì ôü   õ¨ÔÚÆÁÄ»ÉÏÏÔʾ MC SYSTEM-œê' ArialËÎÌåVerdanaTimes New Roman WingdingsProfileManagement Science (2013) 1-3 Summary Diversity and Performance Motivation"Methodology - Empirical Research Conclusion and Contribution2Worst-Case Value at Risk of Nonlinear PortfoliosMotivation and Contribution ContributionZThe Role of Experience Sampling and Graphical Displays on One¡¯s Investment Risk Appetite Motivation MethodologyConciusion and contrubutionh Solving Constrained Consumption¨CInvestment Problems by Simulation of Artificial Market Strategies  Motivation  Contribution =Market Crashes, Correlated Illiquidity, and Portfolio Choice MotivationContribution and conclusion/Intertemporal CAPM with Conditioning Variables MotivationConclusions and contributionNIndividual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond MotivationConclusion and Contribution  ÒÑÓõÄ×ÖÌåÑÝʾÎĸåÉè¼ÆÄ£°å »ÃµÆÆ¬±êÌâ´ 8@ _PID_HLINKS¨Al"http://dict.baidu.com/s?wd=method"http://dict.baidu.com/s?wd=method"http://dict.baidu.com/s?wd=methodö_À‘ã œôUserUserSDPB initiation in a calendar portfolio earns a four-factor annualized excess return (alpha) of approximately 10%over the 1995 2008 sample period, beating 95% of all professional mutual funds in the United States. The insight for management: SSDPB adopters also show significant improvement in operating performance relative to nonadopters. Contribution : A measure of diversity Empirical Research ¡¤‹’l’l+’ü“l CCdCA*CCª~ =óZXŸ¨1Worst-Case Value at Risk of Nonlinear Portfolios¡22C$Ÿ ä Steve Zymler, Daniel Kuhn, Berç Rustem Management Science 59(1), pp. 172 188¡H h CCZCª>4ó Ÿ¨Motivation and Contribution¡GŸ¨T VAR WVAR WPVaR WQVaR¡V‚‚9‚4ª,5ó[YŸ¨ Contribution¡ GŸ¨ªThe insight for management: Advances in portfolio optimization with considerable downside risk allow for more tractable portfolio optimization. updating of old problem¡,«‚’CCó\ZŸ °The Role of Experience Sampling and Graphical Displays on One s Investment Risk Appetite¡YYCŸª ó][Ÿ¨ Motivation¡ GŸ¨ÅAccording to standard models of portfolio choice or lifetime consumption, households should invest at least a small fraction of their wealth into the stock market as soon as they start saving.(56% in the United States, 36% in the Netherlands, 23% in Great Britain and Northern Ireland, and 6% in Germany) Participation: financial professionals should provide clients with tools that better explain risk-return profiles of investment opportunities.¡ž?’lJ“l­?’lB“l6C5CGGCó"Ÿ¨ Methodology¡ GŸ¨risk-presentation modes¡“Øó#Ÿ¨Conciusion and contrubution¡Gª$  Ÿ ZA risk presentation format that incorporates experience sampling and distributions of returns may help investors by increasing decision commitment, confidence, and recall ability as well as reducing known biases as the overestimation of the loss probability. These factors result in an increased willingness to accept risk in one s portfolio. The insight for management: Presenting fund performance graphically changes the perception of the desirability of the investment Contribution: Comprehensive research of risk-presentation; Methodology: Experiment ¡xç’lF’ü’lWCCtCFCCª,ó% Ÿ Ì Solving Constrained Consumption Investment Problems by Simulation of Artificial Market Strategies ¡$gcCŸ ö Björn Bick, Holger Kraft, Claus Munk Management Science 59(2), pp. 485 503, Capital asset pricing and portfolio theory¡†'“l‚'“l’l-JCC-ªFUó^\Ÿ¨ Motivation ¡.$ GŸ¨Ý Utility-maximizing consumption and investment strategies in closed form are unknown for realistic settings involving portfolio constraints, incomplete markets, and potentially a high number of state variables. ¡‚@’lŽ“l “l’l“l’lÚCó&!Ÿ¨ Contribution ¡:G G#ªŸ¨'The authors propose a numerical procedure that Combines the abstract idea of artificial, unconstrained complete markets, well- known closed-form solutions in affine or quadratic return models, straightforward Monte Carlo simulation, and a standard iterative Optimization routine (SAMS).¡* “l(Có)$Ÿ¨<Market Crashes, Correlated Illiquidity, and Portfolio Choice¡==C Ÿ „ Hong Liu, Mark Loewenstein Management Science 59(3), pp. 715 732¡&CPBCª 'ó_]Ÿ¨ Motivation¡ GŸ¨U The recent financial crisis highlights several potentially important fundamental elements for optimal portfolio choice. First, event risks such as a market crash may be significant; second, market Liquidity may dry up after a crash; third, the probability of another crash may increase after a crash; and fourth, other investment opportunity set parameters (e.g., market volatility) may also change after a crash. The optimal trading strategy in the presence Of market crashes that can trigger changes in the investment opportunity set has not been studied in the existing literature. ¡º’l‚F’lP]“lPPG’lPi“lPPRCGGó62Ÿ¨Contribution and conclusion¡GŸ¨Contribution we develop a flexible portfolio choice model where market crashes can trigger switching into another regime with a different investment opportunity set. (updating of old problem) Conclusions In contrast to standard portfolio choice models, changes in the investment opportunity set in one regime can affect the optimal trading strategy in another regime even in the absence of transaction costs. The insight for management: Portfolio choice might change dramatically in the case of broad shifts in market prices.¡Æ’lZµZ ’lZÑ“ØZ4’lZB“lZ G·C GÑCC[Có73Ÿ¨.Intertemporal CAPM with Conditioning Variables¡//C"ª "Ÿ¨ ¡0’تó`^Ÿ¨ Motivation¡ GŸ¨ ¡0’تóUSŸ¨Conclusions and contribution¡GŸ¨ The author finds that the scaled ICAPM performs well in general,and prices particularly well the momentum portfolios. It compares favorably with alternative asset pricing Models in pricing both sets of equity portfolios. Furthermore, the scaled factor is decisive to account for the dispersion in average excess returns between past winner and past loser stocks. The insight for management: A time-varying cash-flow beta/price of risk provides a rational explanation for momentum. Contribution: Model updating ,nearer to realization ¡°Z9’lZB“lZõZ7’lZA“lZZ5’lZq’ª$9 Úó+&Ÿ¨MIndividual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond ¡$NLC"ªM  Ÿ œ Douglas W. Blackburn, Andrey D. Ukhov Management Science 59(2), pp. 470 484¡(O“pNCª,'óa_Ÿ¨ Motivation¡ GŸ¨  The relation between risk preferences of individual agents in the economy and the attitude toward risk in the aggregate is fundamental in financial economics. The asset-pricing literature has grown in two important directions. The first line of literature focuses on the aggregate market. ( explain fundamental aggregate market characteristics such as expected returns and volatility). The second line of literature focuses on the behavior of Individuals It is only by aggregating individual demands that we can determine how individual behavior impacts aggregate prices. Yet this is a critical gap in the literature. This paper makes several important statements regarding the relationship between the aggregate economy and the individuals supporting the economy.¡œ’pPD’lP^“lPE’lPè“lP:’lP“lP CóVTŸ¨Conclusion and Contribution ¡D GGGª0     Ÿ¨”we demonstrate that the difference between individual preferences and aggregated preferences can be large.( risk seekers. can lead to an aggregate economy that is risk averse. The converse is also true. (perfect competition, the existence of budget constraints, and agent heterogeneity) The insight for management: Understanding the relationship between the preferences of individuals and the preferences of the aggregate economy is crucial for understanding the connection between the behavioral finance literature, which focuses on individual preferences, and the asset-pricing literature, which focuses on aggregate prices. 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