Asymptotic analysis for optimal investment and consumption with transaction costs

We consider an agent who invests in a stock and a money market and consumes in order to maximize the utility of consumption over an infinite planning horizon in the presence of a proportional transaction cost . The utility function is of the form U(c) = c^1-p/(1-p) for p > 0, . We provide a heuristic and a rigorous derivation of the asymptotic expansion of the value function in powers of , and we also obtain asymptotic results on the boundary of the no-trade region.Received: July 2003, Mathematics Subject Classification (1991): 90A09, 60H30, 60G44JEL Classification: G13Work supported by the National Science Foundation under grants DMS-0103814 and DMS-0139911.     

Analyst Earnings Forecast Revisions and the Pricing of Accruals

We investigate the relation between two market anomalies to provide insights into analysts role as information intermediaries. Prior research finds that accruals and analyst earnings forecast revisions predict future returns. We find that the accrual and forecast revision strategies generate hedge returns of 15.5% and 5.5% when implemented independently. Strikingly, a combined strategy that uses forecast revisions to refine the accrual strategy generates a hedge return of 28.5%. Firms with consistent accrual and forecast revision signals have less persistent accruals and earnings. We also find that accruals can be used to refine the forecast revision strategy—high accruals are associated with overoptimism in analyst forecasts. Our findings indicate that although forecast revisions reflect information about accrual and earnings persistence beyond that reflected in the level of current year accruals, investors do not fully incorporate this information into their valuation assessments.     

Two new proofs of Afriat’s theorem

Summary. We provide two new, simple proofs of Afriats celebrated theorem stating that a finite set of price-quantity observations is consistent with utility maximization if, and only if, the observations satisfy a variation of the Strong Axiom of Revealed Preference known as the Generalized Axiom of Revealed PreferenceReceived: 12 June 2003, Revised: 9 October 2003, JEL Classification Numbers: D11, C60.Correspondence to: A. Fostel     

The Elbe flood in August 2002--occurrence of polychlorinated dibenzo-p-dioxins, polychlorinated dibenzofurans (PCDD/F) and dioxin-like PCB in suspended particulate matter (SPM), sediment and fish.

As a result of extreme precipitation in August 2002 major flooding occurred in the catchment area of the rivers Elbe, Vltava (Moldau) and Mulde. Pollutants from industrial sites and from municipal sewage treatment works (STW) entered the Elbe and led to a serious pollution problem in the river. PCDD/F concentrations (in pg WHO-TEQ/g dw) in SPM ranged from 7-150, in sediments from 3-140; the "safe sediment value" of 20 was exceeded in 46% of the samples. 24 eels showed a wide concentration variation for these contaminants. The WHO-PCDD/F+PCB-TEQ values lay in the range from 11-56 pg/g ww, whereby the WHO-PCB-TEQ values were several times higher than the WHO-PCDD/F-TEQ values. The maximum permitted value of 4 pg WHO-PCDD/F/g ww (EU Directive No. 2375/2001) was reached or exceeded in 54% of the individuals. A statistical analysis using data from SPM and sediment samples showed that in the Czech river section the flooding activated a contamination source in the vicinity of the Spolana works. The influence of the tributary Mulde could be clearly demonstrated. Only a major clean-up of the contaminated sites in Bitterfeld can lead to a mid to long term improvement in respect of PCDD/F and dioxin-like PCB input into the Elbe.     

Raising the Reliability of Overhead Transmission Lines under the Action of Atmospheric Loads

Problems of reliability of overhead transmission lines (OTL) under the action of atmospheric loads are considered. It is assumed that the integral distribution function of, for example, ice loads, obtained from data of weather stations is a random statistical function that characterizes the frequency of an event (specific ice load) at a point (weather station area). The general population of statistical data is the most reliable base for analysis. Since the atmospheric loads are distributed in space and act on spatially distributed OTL systems, it is recommended to evaluate the proof load and the yearly reliability of OTL in terms of one integral statistical function composed of annual load maxima measured by weather stations located closest to the annual extremum of the ice load on a territory possessing common features (flat-bottom land, low land, elevation) that range within no more than 150 m with respect to the altitude. It is suggested that the Methodological Recommendations on Zoning of Atmospheric Loads on OTL Systems should be updated with allowance for the obtained data.     

Ulteriori contributi a un problema di Leo Moser

Si dimostrano condizioni necessarie e sufficienti relative a punti di Kuhn-Tucker per il «problema dei dadi truccati» e viene proposto un algoritmo per la ricerca di tali punti, tramite una successione di programmi lineari.

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The author's version of the «loaded dice problem» asks for x₁ to be maximum subject tox0 andx ^T H _i x1, whereH _i is the Hankel matrix of the (2n–1)-dimensional unity vectore ⁱ (i=1,..., 2n–1).Proofs are given here about necessary and sufficient conditions for Kuhn-Tucker points, together with an algorithm for finding them by means of a sequence of linear programs.