Taxation and risk taking are examined in a general equilibrium mode/ that incorporates uncertain government revenue and allows the government to influence risk through portfolio investments as well as through tax r policy. It is demonstra ted that each of a wide range of taxes can be decomposed into some combina tion of a wage tax, an ex ante wealth tax, and a modification of the government’s i...

This paper presents a novel theoretical framework to model the evolution of a dynamic portfolio (i.e., a portfolio whose weights vary over time), considering a given investment policy. The framework is based on graph theory and quantum probability. Embedding the dynamics of a portfolio into a graph, each node of the graph representing a plausible portfolio, we provide the probabilities for a dy...

We exploit the potential of latent class analysis in order to propose an innovative framework for financial portfolio development. By stressing the latent nature of the most important financial variables, the expected return and the risk, we are able to introduce a methodological dimension in relevant steps of portfolio analysis. First, we provide a test for the number of possible investment ch...

The focal objective of this study is to analyze and explore the Co-movement of Pakistan stock market (KSE-100) with the stock market of developed countries (US, UK, Canada, Australia, Germany, Japan, France and Neither land) which have portfolio investment in Pakistan by applying co-integration approach using Johansen and Juselius multivariate and bi variate co-integration. Secondary data of st...

We consider the optimal investment-consumption problem with an unknown distribution for the investment returns. After taking the Bayesian approach, the problem is formulated as a Markov decision process in a nonparametric context. We discuss the existence of the optimal strategy and derive the closed form solution of the optimal portfolio. When the prior distribution is a Dirichlet process, the...

This paper examines the effect of the labor-leisure choice on portfolio and consumption decisions over an individual’s life cycle. The model incorporates the fact that individuals may have considerable flexibility in varying their work effort (including their choice of when to retire). Given this flexibility, the individual simultaneously determines optimal levels of current consumption, labor ...

financial derivatives are new instruments through which hedging, investment and arbitrage are done in a modern economy. although the word 'derivative'primarily reminds us of options and futures, the major focus of the equity derivatives industry worldwide is on index derivatives. launching index options and index futures in tehran stock exchange, not only increases financial market de...

Many experiments have found that participants take more investment risk if they see returns less frequently, see portfolio-level returns (rather than each individual asset's returns), or see long-horizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment envir...

Developing a complex software system involves decisions about how to allocate a limited resource budget among a collection of costly software alternatives (such as technologies or analysis techniques) that have uncertain future benefits. Very little quantitative guidance is currently available to make these decisions. We suggest that these allocation problems are naturally viewed in the powerfu...