We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio’s risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a set of trades into two or more portfolios. A derivatives dealer fa...

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Is capital allocated so that its marginal product is equated to the market interest rate? Is the marginal product of capital equalized across its alternative uses. This paper attempts to answer both of these questions using data from India, and concludes that both these standard properties fail by a wide margin.

Stock return is usually considered to be affected by firm’s financial ratios as well as economic variables. Fundamental method assume that stock returns is not solely related to the stock market. Most result come from the company condition , industry situation and whole economy. In this paper, this relationship between stock return and fundamentals is studied using the data for 22 pharmaceutica...

With the aid of Taylor-based approximations, this paper presents results for pricing insurance contracts by using indifference pricing under general utility functions. We discuss the connection between the resulting “theoretical” indifference prices and the pricing rule-of-thumb that practitioners use: Best Estimate plus a “Market Value Margin”. Furthermore, we compare our approximations with k...

With the increased volatility of feed prices, dairy farm managers are no longer concerned with managing only milk price volatility, but are considering the adoption of risk management programs that address income over feed cost (IOFC) margin risk. Successful margin risk management should be founded on an understanding of the behavior of IOFC margins. To that end, we have constructed forward IOF...

The main objective of the paper was to examine the costs, returns and efficiency levels obtained by key players in the Ghanaian yam marketing chain. A total of 320 players/actors (farmers, wholesalers, retailers and cross-border traders) in the Ghanaian yam industry were selected from four districts (Techiman, Atebubu, Ejura-Sekyedumasi and Nkwanta) through a multi-stage sampling approach for t...