We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Kallsen and MuhleKarbe [Ann. Appl. Probab., 20, 2010] for optimal consumption over an infinite horizon, we tackle this problem by determining a shadow price, which is the solution of the dual problem....

We consider a geographic optimization problem in which we are given a region R, a probability density function f(·) defined on R, and a collection of n utility density functions ui(·) defined on R. Our objective is to divide R into n sub-regions Ri so as to “balance” the overall utilities on the regions, which are given by the integrals ̃ Ri f(x)ui(x) dA. Using a simple complementary slackness a...

Labour market imperfections are one of the leading causes of economic backwardness that result in under utilization of labour, the most important input in production process. Labour markets are shallow in subsistence agricultural economies which causes problem in determining the wage rate. The household production function provides an alternative to estimating the shadow wage rate such that it ...

Article history: Received 28 August 2006 Received in revised form 8 March 2007 Accepted 8 March 2007 Available online 3 May 2007 We analyze the contribution of ecosystem services to GDP and use this contribution to calculate an empirical price for ecosystem services. Net primary production is used as a proxy for ecosystem services and, along with capital and labor, is used to estimate a Cobb Do...

Rangeland ecosystems provide a wide range of services such as gas regulation function whose economic value has not been understood. The present study aimed to estimate the economic value of CO2 absorption and oxygen generation services using unit price in Sheikh Musa Rangeland, Mazandaran Province, Iran. In the study area, clipping and weight and photosynthesis methods were applied to estimate ...

We study a financial market with incompleteness arising from two sources: stochastic volatility and portfolio constraints. The latter are given in terms of bounds imposed on the borrowing and short-selling of a ‘hedger’ in this market, and can be described by a closed convex set K . We find explicit characterizations of the minimal price needed to super-replicate European-type contingent claims...

We study the problem of nding the minimal price needed to dominate European-type contingent claims under proportional transaction costs in a continuous-time diiu-sion model. The result we prove has already been known in special cases-the minimal super-replicating strategy is the least expensive buy-and-hold strategy. Our contribution consists in showing that this result remains valid for genera...