This paper develops the parametric restrictions imposed on diffusion state processes by the requirement of arbitrage-free asset pricing. Using the equivalent martingale measure as a starting point, the diffusion property is exploited to specify the shadow pricing function, which takes...

This paper compares the mean-variance and the mean-variance-skewness approaches to modelling expected utility. Attention is focused on a problem encountered in risk management: determining the optimal demand for a put option hedging the return on an asset with a negatively skewed return...

The role of uncertainty in investment decisions is a central concern of Post Keynesian economics. Despite substantive criticisms of security investment strategies that rely on notions from probability theory, Post Keynesians have not provided a detailed model of an investment strategy that would...

By working directly with the profit functions for both arbitrage and speculative trades, this paper develops two distinct notions of market efficiency. These notions provide the basis for evaluating the performance of the when-issued market for Canadian government treasury bills. Despite the...

A variety of approaches have been proposed to extend classical fixed income portfolio immunization theory to cases where shifts in the term structure are not parallel. Following Reitano (1991a, 1991b, 1992, 1996) and Poitras (2007), this paper uses partial durations and convexities to specify...

The stock market globalization process has produced historic changes in the structure of stock markets, the effects of which are evident throughout the world. Despite these transformations, there are relatively few sources examining the connections between the globalization process currently...