This paper studies portfolio choice and pricing in markets in which immediate trading may be impossible, such as the market for private equity and certain over-the-counter markets. Optimal positions are found to depend significantly and naturally on liquidity: when future liquidity is expected to be higher, agents take more extreme positions, given that they do not have to hold them for long wh...

We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock markets and the rest of the world. Long-run correlation estimates imply very low association between the two. The two distinct cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have little impact on Afric...

This work aims the development of an enhanced portfolio selection method, which is based on the classical portfolio theory proposed by Markowitz (1952) and incorporates the local Gaussian correlation model for optimization. This novel method of portfolio selection incorporates two assumptions: the non-linearity of returns and the empirical observation that the relation between assets is dynamic...

We introduce a money demand motive in a life-cycle portfolio choice model and estimate the structural parameters that can generate limited stock market participation and plausible holdings of money, bonds and stocks. The model predicts an increase in bond holdings over the life cycle, and a declining share of money in portfolios as wealth increases. Both predictions are consistent with the data...

This paper examines the effect of the labor-leisure choice on portfolio and consumption decisions over an individual’s life cycle. The model incorporates the fact that individuals may have considerable flexibility in varying their work effort (including their choice of when to retire). Given this flexibility, the individual simultaneously determines optimal levels of current consumption, labor ...

Much of the macroeconomics literature dealing with wealth distribution has become abstracted from modeling housing explicitly. This paper investigates the properties of the wealth distribution and the portfolio composition regarding housing and equity holdings and their relationship to macroeconomic shocks. To this end, I construct a business cycle model in which agents differ in age, income, a...

Miller (1977) emphasized that optimal corporate financial policy depends on the tax rates facing the firm as well as the tax treatment accorded bondand stock-holders. In equilibrium, firms will issue claims that are held by the full spectrum of investors, from tax-exempt institutional investors to heavily taxed individuals. However, dealers are tax neutral institutions that can buy corporate se...

In this paper the efficiency of the electricity generation portfolio of BKW, a major Swiss utility, is analyzed. By applying mean-variance portfolio theory to the current and to possible future generation mixes, efficient frontiers are derived. The analysis based on relative changes in generation costs is complemented by an actual costs analysis. Moreover, a method that takes into account physi...

This article traces the characteristics of “essayistic” as a genuine mode writing in Modernity, using Octavio Paz’s El mono gramático an example. work is regarded one most complex by 1990 Mexican Nobel Prize laureate and resists classification. It stages ambivalent unstable figures “the essayistic,” describing intents shaping general, giving aesthetic form to subject particular. The hope for co...