WORKING PAPER ABSTRACTS - 1976 Listed below are the abstracts for all of the working papers for this year. To see a list of paper titles (with links to available PDF files) click here. 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 01-76 This paper finds necessary and sufficient conditions on the stochastic structure of asset returns for portfolio choice to be equivalent to choice among a limited number of mutual funds of assets, independent of investors’ preferences. This type of separation result is central to much of modern financial theory and, as a consequence, the distributions which satisfy these conditions, the separating distributions, from the underlying basis for much of this theory. 02-76 Working from the assumption that Modigliani and Pogue made in their recent article, I (1) explain why there is no incentive for a portfolio manger to prefer their Plan 1 fee over their Plan 2 fee, (2) explain why the portfolio manager and investment company are superfluous, and (3) rebut the authors’ unduly pessimistic conclusions about portfolio manager behavior in an unregulated capital market. 03-76 No Abstract 04-76 No Abstract 05-76 No Abstract 06-76 No Abstract 07-76 No Abstract 08-76 No Abstract 09-76 No Abstract 10-76 No Abstract 11-76 No Abstract 12-76 No Abstract 13-76 In this paper I develop a model for the pricing of a European-type option to exchange one asset for another. I prove that a similar American-type option is never exercised until the last possible moment. Thus, the formula for the value of the American-type option is the same as that for the European-type option. This sort of option is not only a call option on the one asset, but also a put option on the other. Thus, the formula gives a closed-form expression for a special sort of American put option, and one can derive a put-call parity theorem for options of this sort. I also show how the model applies to four real-world financial arrangements; the investment advisor’s performance incentive fee, the general margin account, the corporate exchange offer, and the standby commitment.
Rodney L. White Center for Financial Research Telephone: (215) 898-7616 Facsimile: (215) 573-8084 Email: rlwctr@finance.wharton.upenn.edu Copyright ©1998 The Wharton School of the University of Pennsylvania. All rights reserved. Site designed by Singularity Design.