A portfolio optimisation problem on an infinite time horizon is considered. Risky asset price obeys a logarithmic Brownian motion, and the interest rate varies according to a Markov diffusion process. This paper obtains an investment strategy considering one stock, one bond where the risk-free...

By virtue of the Ricardian Equivalence (RE) proposition, government bonds do not represent net wealth. Therefore, household's savings will increase to offset the government policy. The paper econometrically tests if governments bonds do represent net wealth based on the time series macrodata...

Financial liberalisation, which is aimed at removing regulations on financial market activity, has become a central part of the financial globalisation process. The paper econometrically estimates by means of a seemingly unrelated regression (SUR) technique the impact of a comprehensive...

This paper specifies and estimates an option price model using non-linear, Seemingly Unrelated Regression (SUR) technique that allows for the incorporation of cross equation correlations and other generalisations. Our results do suggest that this generalisation improves the efficiency of the...