This paper explores optimal international asset allocation policies subjected to the equity holding constraint within an intertemporal framework. To deal with the co-existent realities of agents'; heterogeneous preferences and international market friction, the perturbation method is employed to...

This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135–155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of...

This study compares efficiencies of five Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models in terms of value at risk (VaR) backtesting on the number of prediction failures and the average deviation between VaR and realized return series. Unlike the previous literature...