In this paper, we apply the Markowitz portfolio optimization technique based on mean-variance and semi-variance as measures of risk stocks listed South Pacific Stock Exchange, Fiji. We document key market characteristics consider monthly returns data from SEP-2019 to FEB-2022 (T = 30) 17/19 companies stock exchange construct various portfolios like 1/N (naïve), maximum return, minimum-variance ...

We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in this area is currently evolving into a broader agenda emphasizing the role of financial institutions and agency frictions for asset prices. This research...

Many CSPs can be effectively represented and efficiently solved using matrix models, in which the matrices may have symmetry between their rows and/or columns. Eliminating all such symmetry can be very costly as there are in general exponentially many symmetries. Cost-effective methods have been proposed to break much of the symmetry, if not all. In this paper, we continue with this line of res...

We review research on the ̄uency heuristic as a basis for the subjective experience of familiarity. Then, we explore the links between the construct of ̄uency and the automatic versus consciously controlled memory processes that are estimated using the process dissociation procedure, and the phenomenological experiences studied using ``Remember'' and ``Know'' judgements. Although the ̄uency tha...

Unlike derivatives of financial contracts, commodity options exhibit distinct particularities owing to physical aspects of the underlying. An adaptation of no-arbitrage pricing to this kind of derivative turns out to be a stress test, challenging the martingale-based models with diverse technical and technological constraints, with storability and short selling restrictions, and sometimes with ...

We present a model highlighting one advantage of negotiation over posted prices from the seller’s perspective. In the process, we develop a general methodology for studying mechanism design with weaker incentive constraints. To do so, we introduce the notion of an incentive graph, which encodes the relevant constraints. This construction is relevant when agents possess hard evidence, when they ...

We consider a model in which any investment opportunity is described in terms of cash flows. We don’t assume that there is a numéraire, enabling investors to transfer wealth through time; the time horizon is not supposed to be finite and the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we sh...