While the effect speculators have on forward premiums (the difference between forward and expected spot prices) has been widely studied, there has been very little focus on the effect speculators have on competition in the product market. I study the effect speculators have had on production decisions and price levels in New York’s deregulated electricity market. For the Þrst two years of its o...

The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return of the stock portfolio should be proposed in order to solve the optimization problem. In this paper, two new criterions for the risk of stock pr...

this study investigated the factors influencing the decision to plant almonds in the saman region of chaharmahal-bakhtiari province in central iran through conducting an economic survey in 2005. using portfolio investment theory and econometric model esti-mation (shively, 1998), this paper identifies the most important factors influencing the in-dividual farmer’s decision concerning the number ...

Does Noise Create the Size and Value Effects? Black (1986) and Summers (1986) suggest that the price of a stock can deviate from its intrinsic value by a random noise. In this paper, we show that a stock with such a noise has a higher expected return when its market capitalization or price-dividend ratio is low, because a low market capitalization or price-dividend ratio is a signal that the no...

In many realistic problems of allocating resources, economy efficiency must be taken into consideration together with social equality, and price rigidities are often made according to some economic and social needs. We study the computational issues of dynamic mechanisms for selling multiple indivisible items under price rigidities. We propose a polynomial algorithm that can be used to find ove...

In the execution cost problem, an investor wants to minimize the total expected cost and risk in the execution of a portfolio of risky assets to achieve desired positions. A major source of the execution cost comes from price impacts of both the investor’s own trades and other concurrent institutional trades. Indeed price impact of large trades have been considered as one of the main reasons fo...

In this paper, we show that a price-regulated market for tradable permits improves upon an unregulated market and upon an emission tax, when there is uncertainty about abatement costs. We derive a scheme of open market operations that allows to achieve ex-post efficiency and analyze its effects on the expected profits of the regulated firms and the expected revenue of the regulator. For the cas...

iran’s economy is recognizes as a high inflationary country (for near almost all years after islamic revelation)  which is suffered to external shocks such as external  conflict interactions (for example war and sanctions) and   oil price shocks. therefore, analysis and estimation of money demand in iran should consider above issues in order to have efficient  money supply  policy. this paper, ...