This paper studies the dynamic asset allocation problem faced by an infinitively lived commodity-based sovereign wealth fund under incomplete markets. Assuming that receives a non-tradable stream of commodity revenues until predetermined date, optimal consumption and investment strategies are state time-dependent. Using data from Norwegian Petroleum Fund, we find demand for equity should decrea...

Essential oils are used in a wide variety of consumer goods such as detergents, soaps, toilet products, cosmetics, pharmaceuticals, perfumes, confectionery food products, soft drinks, distilled alcoholic beverages (hard drinks) and insecticides. The world production and consumption of essential oils and perfumes are increasing very fast. Production technology is an essential element to improve ...

The dramatic decline in oil prices, from around $110 per barrel in June 2014 to less than $50 in January 2015, highlights the importance of competition between different energy sources. Indeed, the sustained price drop has been primarily attributed to OPEC’s strategic decision not to curb its oil production in the face of increased supply of shale oil in the US, spurred by the technological inn...

In this paper, we aim at 1. giving formulas of prices and replicating-strategies of defaultable securities(e.g., bonds, swaps, derivatives) in incomplete market, and 2. giving “solvable” examples of quantile hedging strategies in incomplete market. Considering an incomplete market that consists of tradable assets and an unhedgeable defaultable security, whose non-predictable default time has st...

We analyse how a country pursuing unilateral climate policy may contribute to reduction in global CO 2 emissions cost-effective way. To do so its system of energy taxes and subsidies must account for leakage from the domestic foreign economy. focus on occurring via international trade electricity shifts between production other goods. The optimal tax-subsidy scheme is based an intuitive princip...

energy consumption has been essential to societies; because societies depend on the rising provisions of energy to meet their requirements for goods and services and endorse sustainable development. the major source of energy nowadays is oil; oil consumption is dependent on oil availability, production and price. several arab countries are considered as major suppliers of oil in the world; cons...

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In this research, a model is designed to assess the effect of banking facilities over private sector investment. In this model, private investment is a function of non-oil GDP, and with a time lag, of import of capital goods, investment of public sector and the real facilities granted by the banking system to the private sector. The effects of the model indicate a meaningful effect of the ...

This article studies the exponential utility-indifference approach to the valuation and hedging problem in incomplete markets. We consider a financial model which is driven by a system of interacting Itô and point processes. The model allows for a variety of mutual stochastic dependencies between the tradable and non-tradable factors of risk, but still permits for a constructive and fairly expl...