Real options present a wide topic in investment litterature nowadays. However, despite bigadvances in the single asset investment pricing, the theory is miser of informations aboutproblems involving more than one asset. We show in this paper that using dynamic programming,one can find an...

This paper analyzes competition between mutual funds in a multiple fundsversion of the model of Hugonnier and Kaniel [18]. We characterize the setof equilibria for this delegated portfolio management game and show thatthere exists a unique Pareto optimal equilibrium. The main result of thispaper...

Research Question: The investigation of the optimal allocation of current assets. Motivation: Current assets investment is a decision process which affects firm value. In this paper, we develop a framework that encompasses these decisions by taking into consideration the trade-off between risk...

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk-sharing motives. We demonstrate that such unwarranted betting behavior in market equilibrium can be mitigated by introducing nonlinear pricing for ambiguous contracts, without...

Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true....

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower.

We propose a portfolio construction method that accounts for the regime-dependent behavior of stocks, thereby impacting their expected returns. Using a hidden Markov model (HMM) and a regime-weighted least-squares approach, we estimate forward-looking regime-conditional factors. These factors...

Amid the controversies around the optimisation criteria and the objective functions when applying mathematical methods in economics, we proposed a method of quantifying a multi-criteria optimum, called critical distance method. The demonstration of this method is exemplified by assessing the...

In this paper, we propose multi-stage stochastic linear programming for asset-liability management under time-varying investment opportunities. We use a first-order unrestricted vector autoregressive process to model predictability in the asset returns and the state variables, where - additional...