Without relying on duality theory and the indirect utility function, an estimation method is devised that accommodates both price and output uncertainty. This method enables easy testing for risk neutrality. Moreover, it enables empirical comparative statics results to be derived that can be...

This study is an empirical implementation of Alghalith's methodology. In doing so, it provides empirical comparative statics results for the hedging agents under simultaneous price and output uncertainty.

Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the stock market. We apply our approach to the Jamaican financial market. Our result indicates a negative weak relationship between the oil price and the stock index. - Attraverso...

In this paper, we analyze the impacts of joint energy and output prices uncertainties on the inputs demands in a mean-variance framework. We find that an increase in expected output price will surely cause the risk averse firm to increase the inputs’ demand, while an increase in expected...

Purpose – The purpose of this paper is to empirically test dominant theories and assumptions in behavioral finance, using data from the Standard & Poor's 500 index. Design/methodology/approach – The empirical analysis has three parts: to test the assumption of risk aversion; to examine the...

This paper provides a methodology that allows estimation and comparative statics analysis in the presence of two correlated uncertainties: energy price uncertainty and manufacturing price uncertainty. In so doing, we show the impact of the correlation between oil price shocks and manufacturing...

A major obstacle in the existing models of forward dynamic utilities and investment performance evaluation is to establish the existence and uniqueness of the optimal solutions. Consequently, we present a new model of forward dynamic utilities. In doing so, we establish the existence and...

In this paper, we introduce an incomplete-market dynamic investment model with a correlated background risk. In so doing, we show the impact of background risk on the investment decisions.

Most of the currently known option pricing techniques utilize the underlying asset price and strike price, its volatility and time to maturity, as well as the risk freerate. However, both the volatility and the risk-free rate are anticipated via the price move of the underlying asset. Looking at...

We introduce a new theoretically-based method of estimating the impact of the exchange rate and GDP on the stock market. In doing so, we utilize the new stochastic-factor model (a recent development in mathematical finance). Our results indicate a strong negative relationship between the stock...