4 citations · 5 across the 8 of their papers we have counts for
10 papers
A Regulator's Career Option: Revolving Doors, Regulatory Signals, and Firm Tail Risk
G. Charles-Cadogan
This paper develops a revolving-door model in which a regulator designs policy signals that affect a regulated firm's capital structure while holding an implicit career option to l…
Equivalent Behavioural Martingale Measure
G. Charles-Cadogan
The paper places the Samuelson--Merton ``util-prob'' construction and preference-based state-price interpretation inside a continuous-time equivalent-martingale-measure framework.…
Local Expected Utility in Infinite-Dimensional Spaces: Theory and Elicitation
G. Charles-Cadogan
This paper develops a decision-theoretic interpretation of local expected utility on Abstract Wiener space. The framework is intended for economic acts that are naturally stochasti…
Bank Run Exposure in a Paycheck-to-Paycheck Economy with Loss-Averse Depositors
G. Charles-Cadogan
We develop a behavioural model of bank run exposure in a paycheck-to-paycheck economy with loss averse depositors. Income is received through demand deposits, and consumption ratch…
Delegated Monitoring in Public-Private Sector Credit Programs: Underinvestment, Overinvestment, and the Design of Subsidized Lending
G. Charles-Cadogan
This paper studies public-private partnerships that delegate access-to-credit programs to private equity and venture-capital intermediaries. The public sector seeks to relax credit…
Reference Dependence and the Structure of the WTA/WTP Gap
G. Charles-Cadogan
This paper studies the willingness-to-accept/willingness-to-pay (WTA-WTP) gap under objective probabilities. Preferences over finite lotteries satisfy completeness, transitivity, c…
A Theory of Reference-Dependent Utility
G. Charles-Cadogan
This paper characterizes a class of twice continuously differentiable objective-probability preference representations exhibiting endogenous reference dependence under risk. Weak r…
Bankruptcy Risk Induced by Career Concerns of Regulators
Godfrey Charles-Cadogan, John A. Cole
We introduce a model in which a regulator employs mechanism design to embed her human capital beta signal(s) in a firm's capital structure, in order to enhance the value of her pos…
Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM
G. Charles-Cadogan
We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicat…
Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
Godfrey Charles-Cadogan
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe…