This paper explores how a put option changes the probability distribution of portfolio value. The paper extends the model introduced in Bell (2014) by allowing both the quantity and strike price to vary. I use the 5% quantile from the portfolio distribution to measure riskiness and compare...

In this paper a case study is presented to propose an alternative mechanism to include the impact of climate change into the hydropower projects’ feasibility valuation. We started from an independent engineer historical energy generation simulations; therefore, applying mixing unconditional...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is...

The expected utility hypothesis is one of the building blocks of classical economic theory and founded on Savage's Sure-Thing Principle. It has been put forward, e.g. by situations such as the Allais and Ellsberg paradoxes, that real-life situations can violate Savage's Sure-Thing Principle and...

This paper explores dimensional analysis of production and utility functions in economics. As raised by Barnett, dimensional analysis is important in consistency checks of economics functions. However, unlike Barnett's dismissal of CES and Cobb-Douglas production functions, we will demonstrate...

In this paper we estimated IBM beta from 2000 to 2013, then using differential equation mathematical formula we split up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation effect and the jointly effect of these variables.

This paper adopts the push and pull model of migration to explain inter-provincial migration flows across 63 provinces or cities of Vietnam in the period 2004-2009. We used a solution to a quadratic cost migration problem by combining the total number of in and out-migration of various provinces...

Economy can be generally described as a bunch of value streams. At least a part of capital accumulation is assumed to be the consequence of value stream blockage, and a means too keep such blockage. Negative relation between capital accumulation and foreign trade balance coming out from this...