We study the optimal trading strategy of mutual funds that face both position limits and differential illiquidity. We provide explicit characterization of the optimal trading strategy and conduct an extensive analytical and numerical analysis of the optimal trading strategy. We show that the optimal trading boundaries are increasing in both the lower and the upper position limits. We find that ...

L’article analyse la gestion optimale des barrages hydroelectriques quand les apports naturels en eau suivent cycles previsibles. La regle de Hotelling qui determine trajectoire valeur l’eau stock doit s’appliquer facon cyclique compte tenu ruptures saisonnieres et besoins a satisfaire. Quand un est constitue, si contraintes capacite du reservoir ne sont pas liantes, il possible proceder arbitr...

This paper analyses the optimal timing of switching between alternative and consecutive regimes in optimal growth models. We derive the appropriate necessary conditions for such problems by means of the standard techniques from calculus of variations and some basic properties of Sobolev spaces. Keywords: Multi-stage optimal control, Sobolev spaces, Optimal growth models JEL classi…cation: C61; ...

We address the issue of hedging in in nite horizon markets under cone constraints on the number of shares of assets. We show that the minimum cost of hedging a liability stream is equal to its largest present value with respect to admissible stochastic discount factors, thus can be determined without nding an optimal hedging strategy. We develop an algorithm by which an optimal portfolio in one...

This work presents a new technique for temporally benchmarking a time series according to the growth rates preservation principle (GRP) by Causey and Trager (1981). A procedure is developed which (i) transforms the original constrained problem into an unconstrained one, and (ii) applies a Newton’s method exploiting the analytic Hessian of the GRP objective function. We show that the proposed te...

This paper develops a framework for the design of optimal structured products (equityor index-linked notes) allowing us to analyze the maximal utility gain for an investor that can be achieved by introducing structured products. We demonstrate with data from three of the largest markets for structured products (USA, Germany and Switzerland) that most of the successful structured products are no...

This paper uses mixed combinatorial-cum-real particle swarm method to obtain a heuristically optimal order in which the constituent variables can be arranged so as to yield some generalized maximum entropy synthetic indicators that represent the constituent variables in the best information-theoretic sense. It may help resolve the arbitrariness and indeterminacy of Pena’s method of construction...

We generalize the classic dynamic single-item search model to multiple items and vector offers for subsets. We first show a computationally feasible way to solve the dynamic optimization problem, and then prove structural results. Although assignment is not generally monotonically increasing in offer value, we show that, in a special case “additive” model, monotonicity holds if costs are submod...

The role of product market reforms in achieving the objective of higher employment and growth has recently received much attention amongst academics. The aim of this paper is to analyse some of the channels through which cross-market effects come about and to assess their policy relevance. The analytic strategy of this paper relies upon the stochastic real options modelling approach. In a nutsh...