We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the currencies at a given terminal date. We prove the existence of an optimal portfolio process under the a...

The Securities and Exchange Commission adopted Rule 11Ac1-5 on November 15, 2000. The rule requires market centers to make monthly electronic disclosures of basic information regarding execution quality. The rule is intended to empower market forces with the means to achieve a more competitive and efficient national market system by increasing the visibility of execution quality. We find that t...

This paper analyzes some new tests of the Cagan hyperinflation–money demand model which have several advantages relative to those in the literature. They do not confound specification error with rational bubbles, can be implemented with a linear procedure, and are frequently able to detect periodically collapsing bubbles which have challenged existing tests. After a Monte Carlo analysis, the te...

Wary consumers overlook gains but not losses in remote sets of dates or states. As preferences are upper but not lower Mackey semi-continuous, Bewley’s (1972) [4] result on existence of equilibrium whose prices are not necessarily countably additive holds. Wariness is related to lack of myopia and to ambiguity aversion (and, therefore, to Bewley’s (1986) [6] work on Knightian uncertainty). Wary...

We provide a model of rational bubbles in a DNK framework. Entrepreneurs are heterogeneous in investment efficiency and face credit constraints. They can trade bubble assets to raise their net worth. The bubble assets command a liquidity premium and can have a positive value. Monetary policy affects the conditions for the existence of a bubble, its steady-state size, and its dynamics including ...

We develop a stylized model of economic growth with bubbles. In this model, changes in investor sentiment lead to the appearance and collapse of macroeconomic bubbles or pyramid schemes. We show how these bubbles mitigate the effects of financial frictions. During bubbly episodes, unproductive investors demand bubbles while productive investors supply them. These transfers of resources improve ...

investing in stock markets usually is involved in more risks than the bounds and bank deposits. it is expected that resulting returns (capital gain plus yields) from trading in a stock market to be more than those of in a risk free investment. therefore, developing accurate techniques of estimation and forecasting in volatility analysis of financial markets is inevitable. sum squares of weekly ...

Predicting the stock market is very difficult since it depends on several known and unknown factors. So many methods like Technical analysis, Fundamental analysis, Time series analysis and statistical analysis etc. are all used to attempt to predict the price in the share market but none of these methods are proved as a consistently acceptable prediction tool. Artificial neural network (ANN), a...

there are various views about deceision making for the model of growing crops in risky conditions such as: motad model, inome - variance, grade2 planning, inseparable linear planning, and limited extreme risk model, focus-loss model, and target- motad . in this study, target - motad model has been used as the optimum pattern of growing crops in arsanjan. the results have been compared with thos...