The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

A portfolio optimisation problem on an infinite time horizon is considered. Risky asset price obeys a logarithmic Brownian motion, and the interest rate varies according to a Markov diffusion process. This paper obtains an investment strategy considering one stock, one bond where the risk-free...

This study presents an analysis of dividend-driven trading strategies based on dividend yield growth effects in the Polish stock market in the years 1994–2004. Results indicate that the dividend yield growth portfolios were capable of beating the market in the entire sample period. Their...

Vor dem Hintergrund eines sinkenden Schulmilchkonsums in Deutschland stellt sich generell die Frage, welche Faktoren für die Kaufentscheidung von Schulmilch wichtig sind und, ob unterschiedliche Konsummuster für einzelne Gruppen existieren. Dieser Beitrag erweitert bestehende ökonometrische...

Do financial development, domestic interest rates, and interest-rate differentials simultaneously affect the underpricing of initial public offerings (IPOs) in emerging market countries? Using a sample of 187 IPOs in Thailand between 2000 and 2012, I show that financial development, stock market...

Understanding public support for ecosystem restoration is critical to its successful implementation because the sustainability of sound resource management is rooted in stakeholders’ support. The contingent valuation method was used to measure participants’ willingness to contribute, both in...

A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are...

We study a multivariate Markov chain model as a stochastic model of the price changes of portfolios in the framework of the mean field approximation. The time series of price changes are coded into the sequences of up and down spins according to their signs. We start with the discussion for...

Stochastic orders and inequalities are very useful tools in various areas of economics and finance. The purpose of this paper is to describe main results obtained so far by using the idea of stochastic orders in financial optimization. Especially, the emphasis is placed on the demand and shift...