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Efficient portfolios in financial markets with proportional transaction costs

Campi, Luciano; Jouini, Elyès; Porte, Vincent - HAL - 2013

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model of foreign currencies with proportional transaction costs. In our setting, transaction costs may be random, time dependent, have...

Persistent link: https://www.econbiz.de/10010733710

Efficient trading strategies in financial markets with proportional transaction costs

Campi, Luciano; Jouini, Elyès; Porte, Vincent - HAL - 2011

Persistent link: https://www.econbiz.de/10010618168

Max-Min optimization problem for Variable Annuities pricing

Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - HAL - 2014

We study the valuation of variable annuities for an insurer. We concentrate on two types of these contracts that are the guaranteed minimum death benefits and the guaranteed minimum living benefits ones and that allow the insured to withdraw money from the associated account. As for many...

Persistent link: https://www.econbiz.de/10010821370

Efficient Trading Strategies

Jouini, Elyès; Porte, Vincent - HAL - 2007

In this paper, we point out the role of anticomonotonicity in the characterization of efficient contingent claims, and in the measure of inefficiency size of financial strategies. Two random variables are said to be anticomonotonic if they move in opposite directions. We first provide necessary...

Persistent link: https://www.econbiz.de/10008793718

Efficient Trading Strategies with Transaction Costs

Jouini, Elyès; Porte, Vincent - HAL - 2007

In this article, we characterize efficient contingent claims in a context of transaction costs and multidimensional utility functions. The dual formulation of utility maximization helps us outline the key notion of cyclic anticomonotonicity. Moreover, after defining a utility price in this...

Persistent link: https://www.econbiz.de/10008793933

Indifference fee rate for variable annuities

Chevalier, Etienne; Lim, Thomas; Roméro, Ricardo Romo - HAL - 2014

In this paper, we work on indifference valuation of variable annuities and give a computation method for indifference fees. We focus on the guaranteed minimum death benefits and the guaranteed minimum living benefits and allow the policyholder to make withdrawals. We assume that the fees are...

Persistent link: https://www.econbiz.de/10010899322

Non linear filtering and optimal investment under partial information for stochastic volatility models

Ibrahim, Dalia; Abergel, Frédéric - HAL - 2014

This paper studies the question of filtering and maximizing terminal wealth from expected utility in a stochastic volatility models. The special feature is that the only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot...

Persistent link: https://www.econbiz.de/10011026142

Environmental Technology Transfer in a FDI Regime A Developing Country Perspective

One, Author; Two, Author; Thirdone, U. - EconWPA - 2002

investment may come to a region or country where environment protection norms are less strict. Investors may be induced to … transient nature, the phasing out of such a pollution haven regime is typically dependent upon the active institutional … alternative production possibilities that help design prudent environmental policy regime. Also it searches for the right kind of …

Persistent link: https://www.econbiz.de/10005408033

Far From Home: Do Foreign Investors Import Higher Standards of Governance in Transition Economies?

Hellman, Joel S.; Jones, Geraint; Kaufmann, Daniel - EconWPA - 2003

Based on the Business Environment and Enterprise Performance Survey (BEEPS) of firms in transition countries, which … of governance standards; ii) in misgoverned settings, FDI firms may magnify the problems of state capture and procurement …

Persistent link: https://www.econbiz.de/10005407674

Governance and the Effectiveness of Foreign Capital

Qayyum, Unbreen; Siftain, Hasan - Pakistan Institute of Development Economics - 2014

This study empirically investigates the impact of foreign capital and governance on the economic growth by employing … country level data from 1984 to 2010 for Asian developing countries. Governance; foreign aid and FDI positively affect the …

Persistent link: https://www.econbiz.de/10010765677