Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take advantage of the special shape of the efficient portfolios manifold. Simpler solutions are obtained if the higher moments tensor has some particular structures. The problem of...

In this paper we analyze dynamic incentives of a firm to invest in production facilities in a less developed country with lower wage costs and lower productivity. Foreign investment induces that, due to technological spillovers, productivity of local firms in the foreign country increases. Firms...

In this paper we study a capital accumulation model in an optimal control theoretic framework, where the capital stock and the investment rate are modeled as state variables and the change in the investment rate as control. Adjustment costs are introduced for both investment rate and the change...

Recently, Campbell and Viceira (2002) have introduced a framework that allows for dynamic decisions in asset allocation. This paper follows up their work by showing how uncertainties and expectations may affect consumption and portfolio decisions in an intertemporal dynamic framework. We use the...

In this paper we investigate the performance of the threshold accepting heuristic for the index tracking problem. The index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to replicate the performance of a given index upon the...

We report on progress on a Multistage Stochastic programming model for managing risks in the Danish MBS market. An issuer has the choice between adjustable and fixed rates, both types having various options. An integrated interest-rate and optimization model is needed to manage this complex...

We present a multi-stage stochastic programming model for managing portfolios of stock and bond indices denominated in multiple currencies. The portfolios are exposed to market risks and currency risks. Uncertainty in asset returns and exchange rates is represented by means of discrete...