4 Works

Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing

Fousseni Chabi-Yo, Dietmar Leisen & Eric Renault
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem holds, adding a skewness portfolio to the market portfolio; the pricing kernel depends linearly only on the market return and its squared value. Our analysis extends Harvey and Siddique's (2000) conditional mean-variance-skewness asset pricing model...

G-Quadruplex Structure Improves the Immunostimulatory Effects of CpG Oligonucleotides

Kazuaki Hoshi, TOMOHIKO YAMAZAKI, Yuuki Sugiyama, Kaori Tsukakoshi, Wakako Tsugawa, Koji Sode & Kazunori Ikebukuro
Single-strand oligodeoxynucleotides (ODNs) containing unmethylated cytosine-phosphate-guanine (CpG) are recognized by the toll-like receptor 9, a component of the innate immunity. Therefore, they could act as immunotherapeutic agents. Chemically modified CpG ODNs containing a phosphorothioate backbone instead of phosphodiester (PD) were developed as immunotherapeutic agents resistant to nuclease degradation. However, they cause adverse side effects, and so there is a necessity to generate novel CpG ODNs. In the present study, we designed a nuclease-resistant nonmodified CpG...

On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

Fousseni Chabi-Yo, Eric Ghysels & Eric Renault
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences. Tobin (1958) analyzed portfolio demand in a mean-variance setting. We revisit the fund separation in...

Tractable Term-Structure Models and the Zero Lower Bound

Bruno Feunou, Jean-S├ębastien Fontaine, Anh Le & Christian Lundblad
We greatly expand the space of tractable term-structure models. We consider one example that combines positive yields with rich volatility and correlation dynamics. Bond prices are expressed in closed form and estimation is straightforward. We find that the early stages of a recession have distinct effects on yield volatility. Upon entering a recession when yields are far from the lower bound, (i) the volatility term structure becomes flatter, (ii) the level and slope of yields...

Registration Year

  • 2021

Resource Types

  • Text


  • University of North Carolina at Chapel Hill
  • Bank of Canada
  • Tokyo University of Agriculture and Technology
  • Johannes Gutenberg University of Mainz
  • National Institute for Materials Science
  • Pennsylvania State University
  • North Carolina State University