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This is my PhD dissertation defended in 1966 at the University of Minnesota and it was never published. It has been cited and used in other researchers work so I now make it available. The problem of optimal resource allocation over time is formulated as an optimal control problem. This is where...
Persistent link: https://www.econbiz.de/10013030147
Using a unique money manager database that allows managers to identify their own investment styles, we examine 4,754 non mutual fund value- and growth-oriented portfolios over the period 1999-2003. Consistent with style definitions, we find that on average, growth funds have price-earnings...
Persistent link: https://www.econbiz.de/10013138275
This article provides a rigorous asymptotic analysis of long-term growth rates under both proportional and Morton-Pliska transaction costs. We consider a general incomplete financial market with an unspanned Markov factor process that includes the Heston stochastic volatility model and the...
Persistent link: https://www.econbiz.de/10013005692
We develop two new methods for calibrating subjective expectations regarding the return generating process (RGP) of financial assets without resorting to noisy realized returns. Using finance professionals' expectations of average and extreme returns, volatilities, and probabilities of stocks...
Persistent link: https://www.econbiz.de/10012995634
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results are consistent with traditional asset pricing theory and are robust to numerous empirical specifications. Collectively …
Persistent link: https://www.econbiz.de/10012937968
We use stochastic optimal control-dynamic programming (DP) to derive the optimal foreign debt/net worth, consumption/net worth, current account/net worth, and endogenous growth rate in an open economy. Unlike the literature that uses an Intertemporal Budget Constraint (IBC) or the Maximum...
Persistent link: https://www.econbiz.de/10013320476
We propose a unified theory of asset price determination encompassing both "conventional" and "alternative" asset …
Persistent link: https://www.econbiz.de/10014512038
This study investigates the linkage between portfolio investment and economic growth in 18 developed and 27 developing countries. Furthermore, it compares and analyzes interest-bearing and non-interest-bearing assets and the economic development level. The results of our analysis show that...
Persistent link: https://www.econbiz.de/10014307374
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