Financial options typically incorporate times of exercise. Alternatively, they embody set-up costs or indivisibilities. Such features lead to planning problems with integer decision variables. Provided the sample space be finite, it is shown here that integrality constraints can often be...

Fama and French (1992, 1993, 1995 and 1996) declare that size and book-to-market equity (BM) have strong explanatory power for the cross-section of stock returns, and the risk captured by size and BM is the relative distress of small stocks and value stocks. Firstly, this study examines the...

We analyze how a benevolent, privately-informed government agency would optimally release information about the economy's growth rate when the agents hold heterogeneous beliefs. We model two types of agents: "trusting" and "distrustful." The former has a prior that is identical to that of the...

Our aim is to give a comparative analysis of ability of different factor mimicking portfolios in representing the background factors. Our analysis contains a cross-sectional regression approach, a time-series regression approach and a portfolio approach for constructing factor mimicking...

We derive theoretical discrete time asset pricing restrictions on the within state conditional mean equations for the market portfolio and for individual assets under the assumptions: (1) the conditional CAPM holds; (2) asset returns are driven by an underlying unobserved two-state discrete...