Which strategies will survive in the long run and which will diminish? These are important questions in evolutionary finance. Up to now we only know answers in the case of stationary dividends. But the evolutionary perspective to the financial market is considering very long time horizons. In...

The optimal investment-dividend policy of a financially constrained firm whose earnings are subject to additive shocks is shown to exhibit several stylized economic and financial features of the firm life cycle which usually require considerably more complex models. This parsimonious model...

This paper presents a simple model of the firm life cycle that cap- tures several stylized economic and financial features which usually require considerably more demanding approaches. We study the opti- mal capital accumulation policy of a financially constrained firm whose revenue is subject...

The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartingaleand its stochastic integral to a piecewise semimartingale of stochastic dimension. The propertiesof the former carry over largely intact to the latter, avoiding some of the pitfalls of...

Motivated by the Chinese experience, we analyze a semi-open economy where the centralbank has access to international capital markets, but the private sector has not. Thisenables the central bank to choose an interest rate different from the international rate.We examine the optimal policy of...

Following a trend of sustained and accelerated growth, the VIXfutures and options market has become a closely followed, active andliquid market. The standard stochastic volatility models | whichfocus on the modeling of instantaneous variance | are unable to t theentire term structure of VIX...

We consider nancial positions belonging to the Banach lattice of bounded measurable functionson a given measurable space. We discuss risk measures generated by general acceptance sets allowingfor capital injections to be invested in a pre-specied eligible asset with an everywhere positive...

For utility maximization problems under proportional transaction costs, it hasbeen observed that the original market with transaction costs can sometimes be replacedby a frictionless shadow market that yields the same optimal strategy and utility. However,the question of whether or not this...

We present results from the rst large-scale international surveyon risk preferences, conducted in 45 countries. We show substantialcross-country dierences in risk aversion, loss aversion and probabilityweighting. Moreover, risk attitudes in our sample depend not only oneconomic conditions, but...