Without adopting restrictive assumptions, we show the impact of the output risk on the optimal hedge, output and the hedge ratio.

In this paper, we treat output as a decision variable. Moreover, we employ a general form of basis risk. Furthermore, we relax the statistical-independence assumption between the spot price and basis risk.

Using a stochastic factor model, we devise a method to estimate the marginal impact of real GDP on the stock market. We apply our approach to the Jamaican financial market.

A major obstacle in the existing models of forward dynamic utilities and investment performance evaluation is to establish the existence and uniqueness of the optimal solutions. Consequently, we present a new model of forward dynamic utilities. In doing so, we establish the existence and...

This paper presents a rigorous test of statistical independence (as opposed to lack of correlation) between two random variables.

Most of the currently known option pricing techniques utilize the underlying asset price and strike price, its volatility and time to maturity, as well as the risk freerate. However, both the volatility and the risk-free rate are anticipated via the price move of the underlying asset. Looking at...

This paper provides a methodology that allows estimation and comparative statics analysis in the presence of two correlated uncertainties: energy price uncertainty and manufacturing price uncertainty. In so doing, we show the impact of the correlation between oil price shocks and manufacturing...

Purpose – The purpose of this paper is to empirically test dominant theories and assumptions in behavioral finance, using data from the Standard & Poor's 500 index. Design/methodology/approach – The empirical analysis has three parts: to test the assumption of risk aversion; to examine the...

Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the stock market. We apply our approach to the Jamaican financial market. Our result indicates a negative weak relationship between the oil price and the stock index. - Attraverso...

We extend the model of Paroush and Wolf by using a general utility and general distributions.