In this paper we look at the cumulative conditional expected outcome of two dependent assets. We then develop a conditional stochastic dominance relation between the two assets. We use this to determine the composition of an optimal portfolio. We show that for any concave von Neumann-Morgenstern...

In this article we study the tradeoffs between average output and reduced volatility due to macroeconomic intervention. Using a Keynesian model of regulated Brownian motion with an endogenous producer/investor term, we show that when intervention is perfect and costless, the rewards in terms of...

In this paper we consider the problem of project evaluation in internationally integrated cross border capital budgeting with political risk. The framework is multi-risk where the first risk is associated with the volatility of the investment's outcome and the second risk is political and is...

This paper models capital flows in a rich-poor, two country, two asset, dual-risk economy with decreasing absolute risk aversion. The first risk is asset specific. The second is political and dependent, i.e., related to particular asset outcomes. In this framework, we show the role of wealth in...

The concept of efficient portfolios plays an important role in modern financial theory and practice. Although there is an extensive and growing literature that focuses on testing portfolio efficiency, outside of mean-variance optimization, which has several serious shortcomings, no systematic...