A new general model for asset returns is studied in the framework of the Fractal Market Hypothesis (FMH). To accomodate markets with arbitrage opportunities it concerns capital market systems in which the Conditionally Exponential Dependence (CED) property can be attached to each investor on the market. Emploing the limit theorem for the CED systems, the universal characteristics for the distri...

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of mode...

In this study a Multi-Objective Evolutionary System is used to predict the future tendency of assets price. Therefore, a framework using a Multi-Objective Genetic Algorithm (GA) in its core to optimize a set of Trading or Investment Strategies (TSs) was developed. The investigated framework is used to determine potential buy, sell or hold conditions in stock markets, aiming to yield high return...

In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative. Explicit formulas in the case of two branches are obtained for several models (independent exponentia...

Due to the sublimation and perfection of human knowledge in economics, the concept of efficiency developed in the past two decades and the measurement of it, based on different theories and practice. In economics, efficiency means the maximum of possible output from a certain amount of input. The efficiency is very important for developing countries Because these countries face to a shortage of...

Should long-term assets such as infrastructure, education, and the environment earn the same return as productive capital? If yes, we can say that investments in such assets pass the cost-benefit test. But time-inconsistent decision-makers prefer to violate the test: long-term assets provide commitment to current preferences, leading to investment biases. We formulate the cost-benefit requireme...

The theorem of zero taxation of capital income is reexamined and is shown to hinge critically on the assumptions of a long horizon and perfect markets for the inter-temporal allocation of resources. The theorem does not hold when borrowing constraints prevent individuals from insuring against idiosyncratic shocks and have a precautionary motive for savings. Structural assumptions are made such ...

This paper has three messages mainly, which are observed in a simple model of climate change, international trade and regional adaptation. First, trade can be viewed as a kind of adaptation to climate change and variability, as trade can help to reduce direct impacts of global climate change on a region’s welfare. In particular, the less affected and the richer nations are, the more they can pr...

1. A recurrently balanced financial plan for 2012/13 which maintains the £6.7m planned surplus from previous years. 2. The major risk relates to delivery of the necessary efficiency savings to meet the National Efficiency Target and to address underlying Directorate deficits brought-forward from 2011/12. 3. 2012/13 Patient Services contracts are broadly agreed, although there remain some risks ...