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Evidence is presented from IGE (the Istanbul Gold Exchange) that an institutional regulation such as the establishment of an organized exchange is an important component of informational efficiency that should not be disregarded in the process of financial liberlization. 相似文献
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Arbitrage and investment opportunities 总被引:1,自引:0,他引:1
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We study the deterministic optimization problem of a profit-maximizing firm which plans its sales/production schedule. The firm controls both its production and sales rates and knows the revenue associated to a given level of sales, as well as its production and storage costs. The revenue and the production cost are assumed to be respectively concave and convex. In Chazal et al. [Chazal, M., Jouini, E., Tahraoui, R., 2003. Production planning and inventories optimization with a general storage cost function. Nonlinear Analysis 54, 1365–1395], we provide an existence result and derive some necessary conditions of optimality. Here, we further assume that the storage cost is convex. This allows us to relate the optimal planning problem to the study of a backward integro-differential equation, from which we obtain an explicit construction of the optimal plan. 相似文献
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This paper investigates the temporal links between two models of equilibrium exchange rate, namely the behavioral and the fundamental approaches. Our results show that, even though in the long-run they are closely related, important differences are observed for some countries and/or some periods. Contrary to previous contributions, we analyze the factors that explain this disconnection. We outline structural changes in matter of competitiveness, the dynamics of foreign assets and valuation effects as explanations. This novel evidence is important if the two approaches for assessing misalignments are used for policy decisions such as setting tariffs to cope with the “currency war”. 相似文献
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We analyse a model of partially revealing, rational expectations equilibrium with diverse information, endogenous beliefs formation and uncertain distribution of risk aversion. More risk averse agents are then more optimistic. Such a positive correlation is important for collective decision analysis. 相似文献
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Selima Ben Mansour Elyès Jouini Jean‐Michel Marin Clotilde Napp Christian Robert 《Journal of Applied Econometrics》2008,23(6):843-860
Our aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to estimate the average level of optimism when weighted by risk tolerance. Its estimation leads to a non‐trivial statistical problem. We start from a large lottery survey (1536 individuals). We assume that individuals have true unobservable characteristics. We adopt a Bayesian approach and use a hybrid MCMC approximation method to numerically estimate the distributions of the unobservable characteristics. We find that individuals are on average pessimistic and that pessimism and risk tolerance are positively correlated. Copyright © 2008 John Wiley & Sons, Ltd. 相似文献
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We study the deterministic control problem of maximizing utility from consumption of an agent who seeks to optimally allocate his wealth between consumption and investment in a financial asset subject to taxes on benefits with first-in–first-out priority rule on sales. Short sales are prohibited and consumption is restricted to be non-negative. Such a problem has been introduced in a previous paper by the same authors where the first-order conditions have been derived. In this paper, we establish an existence result for this non-classical optimal control problem. 相似文献
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In this paper we consider a family of investment projects defined by their deterministic cash flows. We assume stationarity—that is, projects available today are the same as those available in the past. In this framework, we prove that the absence of arbitrage opportunities is equivalent to the existence of a discount rate such that the net present value of all projects is nonpositive if the projects cannot be sold short and is equal to zero otherwise. Our result allows for an infinite number of projects and for continuous as well as discrete cash flows, generalizing similar results established by Cantor and Lippman (1983, 1995) and Adler and Gale (1997) in a discrete time framework and for a finite number of projects. 相似文献