Price dynamics of the asset depends on the collective action of buyers and sellers, including both institutional and private investors. A large number of diverse, sometimes contradictory, reasons can underlie the decisions of market participants. In certain periods, asset purchases can be a...

We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. The standard formulation of mean-variance optimal portfolio allocation problems, where the total wealth is...

There is an irreductible conflict between, on the one hand, the desire to allocate income in society in an equitable way and, on the other, the desire to alleviate poverty. The conflict materializes itself in the problem of designing a basic income (or negative income tax) system which requires...

We consider generalized monotone functions f: X -- {0,1}defined for an arbitrary binary relation = on X by theproperty x = y implies f(x) = f(y). These include thestandard monotone (or positive) Boolean functions, regular Booleanfunctions and other interesting functions as special cases. It...

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...

An investment is a commitment of funds made in the expectation of some positive rate of return. A fundamental principle of investments is diversification, where investors diversify their investments into different types of financial assets. The different stocks can be clubbed in one portfolio....