Here c(s, t) is the expected value of the right to buy or sell an asset at some future date, s is the asset price, r(t) is the rate of increase available from alternative riskless investments, and σ(t) is the asset volatility. The right-hand-side terms allow the applicability to be extended beyond the basic European options model. The compactness of the numerical scheme keeps any computer progr...

When there is a dispute between players on how to divide multiple divisible assets, how should it be resolved? In this paper we introduce a multi-asset game model that enables cooperation between multiple agents who bargain on sharing K assets, when each player has a different value for each asset. It thus extends the sequential discrete Raiffa solution and the Talmud rule solution to multi-ass...

The presence of illiquid assets, such as human wealth, housing and a proprietorship substantially complicates the problem of portfolio choice. This paper is concerned with the problem of optimal asset allocation and consumption in a continuous time model when one asset cannot be traded. This illiquid asset, which depends on an uninsurable source of risk, provides a liquid dividend. In the case ...

In modern economics, Intellectual capital is described as an intangible asset which can be used as a source of sustainable competitive advantage. However, intellectual capital components have to interact in themselves to create value. The paper seeks to examine the impact of intellectual capital on firms’ market value and financial performance. The efficiency of the value added by corporate int...

The brand is a very special asset and in many businesses it is the most important asset. This is due to the farreaching economic impact that brands have on enterprise. Brands influence the choice of customers, employees, investors and government authorities. In a world of abundant choices such influence is crucial for commercial success and creation of shareholder value. Even non-profit organis...

In an asset-pricing model calibrated to match the standard asset pricing empirical properties –in particular, the time-variation in the equity premium – we calculate the welfare (value) implications of sub-optimal capital budgeting decisions. Specifically, we calculate that an investment policy that ignores the timevariation in the equity premium, such as would occur with a cost of capital foll...

Conventional theory suggests that fiat money will have value in capitalpoor economies. We demonstrate that fiat money may also have value in capital-rich economies, if the price of capital is excessively volatile. Excess asset-price volatility is generated by news ; information that has no social value, but is privately useful in forming forecasts over the short-run return to capital. One advan...

Once a procedure for measuring exposures to variations in returns of major asset classes is in place, it is possible to determine how effectively individual fund managers have performed their functions and the extent (if any) to which value has been added through active management. Finally, the effectiveness of the investor's overall asset allocation can be compared with that of one or more ben...