The dynamic portfolio frontier theory in a mean-variance framework previously developed by scholars suffers some limitations. Specifically, the theory assumes the use of the martingale approach, the assumption of a complete market and particular probability distribution of asset returns....

In this paper the causes of variation in automobile insurance prices are examined within a small and homogenous state. The central hypothesis of interest is the relation between the price of automobile insurance and the quality of the product. The findings here indicate that the market is one...

A binary system in which the diffusion flux has a nonvanishing relaxation time is considered. We study the spectra of fluctuations of the solute density and the solute diffusion flux. The role of the diffusion flux is analyzed in two descriptions. First, the shortest observable time interval is...

We address here the question of the choice and interpretation of state variables in the thermodynamical description of systems arbitrarily away from equilibrium. It is presented a discussion of the topic in the framework of informational statistical thermodynamics, an approach based on Gibbs...

Analysis of a model for fast spinodal decomposition controlled by diffusion is proposed. Using the concept of fast phase separation, an interpretation of a purely non-equilibrium contribution to the entropy of a spinodally decomposing system is given in terms of multi-component fluids and of...

A study of the question of heat propagation in an extended quantum hydrodynamic approach is presented. We consider a fluid of Fermi particles in interaction with a thermal bath of bosons. The equation of evolution for the flux of energy, which is incorporated as a basic thermodynamic variable...

This study develops an optimal insurance contract endogenously and determines the optimal coverage levels with respect to deductible insurance, upper-limit insurance, and proportional coinsurance, and, by assuming that the insured has an S-shaped loss aversion utility, the insured would retain...

This study investigates the bias adjustment for mean–variance efficient portfolio frontiers due to population mean and variance estimation error in Taiwan stock market. Although Siegel and Woodgate (2007; Management Science, 53, 1005–1015) and Kan and Smith (2008; Management Science, 54,...

This study develops a truncated Gram–Charlier expansion (TGCE) option pricing model, which simultaneously considers the skewness, kurtosis and essentially truncated (bounded) interval in the underlying asset return. In addition to TGCE, a truncated Black–Scholes model is proposed also. The...