In the article we present some extension for the classical problem of dynamic investment optimization. We take the neoclassical model of growth with one product and many consumption goods. The number of consumption goods can be infinite and the consumption bundle is defined on some abstract,...

In the paper we try to measure the activity of jumps in returns of some instruments from the Polish financial market. We use Blumenthal-Getoor index ? for Lévy processes as a measure of jumps’ activity. This allows us to distinguish between processes with rare and sharp jumps and the...

The aim of the study is to analyze what is the impact of analyze period, resident value estimation method, discount rate and economic sector of the investor on the level of resident value to initial value of investment ratio. In the article, basing on 43 investments made by investors form MSP...

The aim of the study is to analyze what is the impact of analyze period, resident value estimation method, discount rate and economic sector of the investor on the level of resident value to initial value of investment ratio. In the article, basing on 43 investments made by investors form MSP...

The aim of the study is to analyze what is the impact of analyze period, resident value estimation method, discount rate and economic sector of the investor on the level of resident value to initial value of investment ratio. In the article, basing on 43 investments made by investors form MSP...

In the article we present some extension for the classical problem of dynamic investment optimization. We take the neoclassical model of growth with one product and many consumption goods. The number of consumption goods can be infinite and the consumption bundle is defined on some abstract,...

In the paper we present a proposal of augmenting portfolio analysis for the infinitely divisible distributions of returns - so that the prices of assets can follow Lévy processes. In this article we propose a model in which asset prices follow multidimensional Lévy process and the...

Several empirical findings have challenged the traditional view on the trade-off between risk and incentives. By combining risk aversion and limited liability in a standard principal-agent model the empirical puzzle on the positive relationship between risk and incentives can be explained....