Implementation of Financial Accounting Standards (SAK) PSAK 112: for Waqaf, which specifically regulates waqaf, is a positive signal endowments in the country. Especially institutions that are directly involved waqaf management. So management and presentation assets at Islamic boarding school foundation becomes more structured. 112 accounting nadzir organizations wakif organizations. In an effo...

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a unit root in the log-squared time series. This strategy for inference has many advantages, but is n...

After the collapse of the housing bubble in 2007, severe fire sales of assets in the financial sector are accompanied by a rise in the volatility of asset returns in the non-financial firms. To account for their co-movements, I develop a model that highlights the interaction between the financial health of the banking sector and the volatility of asset returns. The novel feature of the model is...

We establish several new findings on the relation between open interest in commodity markets and asset returns. High commodity market activity, as measured by high open-interest growth, predicts high commodity returns and low bond returns. Openinterest growth is a more powerful and robust predictor of commodity returns than other known predictors such as the short rate, the yield spread, the ba...

We show that cross-border financial flows arise when countries differ in their abilities to use assets as collateral. Financial integration is a way of sharing scarce collateral. The ability of one country to leverage and tranche assets provides attractive financial contracts to investors in the other country, and general equilibrium effects on prices create opportunities for investors in the f...

This paper studies the behavior of international capital flows driven by the portfolio reallocation decisions of international investors; so-called hot money. I develop an open economy model with endowment and preference shocks that can account for the empirical behavior of real exchange rates, interest rates and consumption in the U.S. and Europe. The model includes financial frictions that im...

This paper provides empirical evidence on life-cycle patterns in the asset allocation of Swedish households. Data on household portfolio allocation are collected from the HINK surveys for the period 1982-1992, and portfolio shares of different asset categories are regressed on age, period, and cohort dummies as well as socio-economic and demographic variables. There are evident differences in t...

This paper considers an economy in which the financial system provides intermediary services for founded and unfounded assets. Founded assets have real investments as underlying, the unfounded assets have not. Money is used for real and financial transactions. In particular, the money supplied to the financial system may be used to honor the payoff promises of unfounded assets rather than being...

We show that, for a utility function U : R→ R having reasonable asymptotic elasticity, the optimal investment process Ĥ ·S is a super-martingale under each equivalent martingale measure Q, such that E[V ( dP )] < ∞, where V is the conjugate function of U . Similar results for the special case of the exponential utility were recently obtained by Delbaen, Grandits, Rheinländer, Samperi, Schweizer...

We show that, for a utility function U : R → R having reasonable asymptotic elasticity, the optimal investment process Ĥ · S is a super-martingale under each equivalent martingale measure Q, such that E[V ( dP )] < ∞, where V is conjugate to U . Similar results for the special case of the exponential utility were recently obtained by Delbaen, Grandits, Rheinländer, Samperi, Schweizer, Stricker ...