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...

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.

We develop a simple and general method for solving non-linear Hamilton-Jacobi-Bellman partial differential equations HJB PDEs. We apply our method to the portfolio model.

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...

While production decisions in the presence of price uncertainty have been extensively studied, this is not so for the case in which the level of production is itself uncertain. In this paper,we provide a decision analysis under multiplicative production uncertainty, both with and without price...

This paper extends the existing estimation methods to allow estimation under simultaneous price and output uncertainty. In contrast with the previous literature, our approach is applicable to the direct and indirect utility functions and does not require specification and estimation of the...

ResumenEste artículo ofrece una generalización del modelo de riezgo subyacente. En primer lugar, se relajan los supuestos de independencia. En segundo lugar, se adopta una forma funcional general. Tercero, se adopta un tipo de riesgo general. Adicionalmente se presenta una nueva forma general...