This paper studies the impact of background risk on the indifference curve. We first study the shape of the indifference curves for the investment with background risk for risk averters, risk seekers, and risk-neutral investors. Thereafter, we study the comparative statics of the change in the...

This paper first extends the theory of almost stochastic dominance (ASD) to the first four orders. We then establish some equivalent relationships for the first four orders of the ASD. Using these results, we prove formally that the ASD definition modified by Tzeng et al.\ (2012) does not...

This paper establishes some equivalent relationships for the first three orders of the almost stochastic dominance (ASD). Using these results, we first prove formally that the ASD definition modified by Tzeng et al. (2012) does not possess any hierarchy property. Thereafter, we conclude that...

In this article we propose a quick, efficient, and easy method to detect whether a time series Yt possesses any nonlinear feature. The advantage of our proposed nonlinearity test is that it is not required to know the exact nonlinear features and the detailed nonlinear forms of Yt. Our proposed...

This paper extends Meyer’s (1987) location-scale family with general n random seed sources. Firstly, we clarify and generalize existing results to this multivariate setting. Some useful geometrical and topological properties of the location-scale expected utility functions are obtained....

We develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(l) process but take the form of a general ARMA process. We then derive some properties of the GMR process and three...

This paper focuses on the role of technical analysis in signalling the timing of stock market entry and exit. Test statistics are introduced to test the performance of the most established of the trend followers, the Moving Average, and the most frequently used counter-trend indicator, the...

Levy and Levy (2002, 2004) develop the Prospect and Markowitz stochastic dominance theory with S-shaped and reverse S-shaped utility functions for investors. In this paper, we extend Levy and Levy’s Prospect Stochastic Dominance theory (PSD) and Markowitz Stochastic Dominance theory (MSD) to...

Gordon and Shapiro (1956) first equated the price of a share with the present value of future dividends and derived the well-known relationship. Since then, there have been many improvements on the theory. For example, Thompson (1985, 1987) combined the "dividend yield plus growth" method with...

In this paper we analyse the repeated time series model where the fundamental component follows a ARMA process. In the model, the error variance as well as the number of repetition are allowed to change over time. It is shown that the model is identified. The maximum likelihood estimator is...