As a necessary requirement for multi-period risk measure, time consistency can be examined from two aspects: dynamic riskmeasure andoptimal investment policy. In this paper,we first study the relationship between the time consistency of dynamic risk measure and the time consistency of optimal investment policy and obtain the following conclusions: if the dynamic riskmapping is time consistent a...

We investigate a continuous-time mean–variance portfolio selection problem. Different from the general stochastic dynamic programming approach, such as using Hamilton–Jacobi–Bellman (HJB) equation, this paper adopts the Lagrange duality method and the finite difference approach to derive explicit closed-form expressions for the efficient investment strategy and the mean–variance efficient front...

www.ethnobotanyjournal.org/vol3/i1547-3465-03-201.pdf Ethnobotany Research & Applications 3:201-207 (2005) Victoria Reyes-García, ICREA-Institut de Ciència i Tecnologia Ambiental, Universitat Autónoma de Barcelona, 08193 Bellatera, Barcelona, SPAIN. [email protected] Victoria Reyes-Garcia, Vincent Vadez & Tomás Huanca, Sustainable International Development Program, Heller School for Social Po...

The usual focus in authorship studies is on authorship attribution, i.e. determining which author (of a given set) wrote a piece of unknown provenance. The usual setting involves a small number of candidate authors, which means that the focus quickly revolves around a search for features that discriminate among the candidates. Whether the features that serve to discriminate among the authors ar...

One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock market data to give individuals or institutions useful information about the market behavior for investment decisions. The enormous amount of valuable data generated by the stock market has attracted researchers to explore this problem domain using different methodologies. This pa...

In a dynamic setting with demand following a random process, we ask how investment and operating decisions can be delegated to a manager with unknown time preferences. Only the manager observes the demand realization in each period and, therefore, has private information when choosing whether to acquire the productive asset and, subsequently, how to utilize it. We derive accrual accounting-base...

We analyze investment incentives and market structure under oligopoly competition in service industries with congestion effects. We consider situations where firms compete by simultaneously choosing prices and investments; increasing investment reduces the congestion disutility experienced by consumers. We define a notion of returns to investment, according to which congestion models inspired b...

This paper presents an integrated IT/IS investment evaluation framework based on IT/IS investment evaluation and business values and IS Success factors. The proposed framework involves different parts of organization or stakeholders whom are influenced by IT/IS investment decisions. It uses Delphi technique for selecting and grouping IT/IS investment criteria. Then, selected criteria are weight...

Although there is evidence that CO2-efficiency enhancing innovations in one country diffuse into other countries to contribute to the goals of climate change mitigation, very little is known about the conditions under which such international spillovers are most likely to take place. Our contribution in the present article seeks to address this gap by examining whether the strength of cross-bor...

Although analysts have explored many facets of economic growth of Korea over the last decades, infrastructure investment policies have been discussed in terms of a simple developmental state framework that emphasizes the role of bureaucracy. This paper claims that infrastructure investment is a function of interactive processes affected by demand, supply, politics, and administrative reaction. ...