Although there has been much attention in recent years on the effects of additive background risks, the same is not true for its multiplicative counterpart. We consider random wealth of the multiplicative form x\~y\~, where x\~ and y\~ are statistically independent random variables. We assume...

We study the impact of financial innovations on real investment decisions within the framework of an incomplete market economy comprised of firms, investors, and an intermediary. The firms face unique investment opportunities that arise in their business operations and can be undertaken at given...

The general optimal portfolio selection problem with fixed transaction costs is a complex mathematical programming problem. However, by placing reasonable restrictions on the variance-covariance matrix of returns, it is possible to simplify the solution of the problem. Specifically if the...