Portfolio choices of gold-related assets for market investors and dealers may not only depend on price differences and the inflation rate, but may also react to the market participants’ strategic behavior and risk attitude. This study develops a two-agent stochastic differential game model to...

This study analyzes the asset allocations of simple international portfolios that include domestic risky assets, foreign risky assets, and domestic risk-free bonds, through a theoretical analysis. A close-form solution for the optimal holding rates is derived, and can be further sub-divided into...

This study explores how innate learning ability changes portfolio selection decision-making in a continuous-time framework. We re-solve Samuelson-Merton¡¦s portfolio choice problem framed in a fixed investment opportunity set for an individual with a learning ability. In contrast to...