For those who monitor relative wealth accumulation and are unmoved by divine empathy, a disincentive to increase the rate of full manumission is possible. Consider slavery as overt, formal constraints to zero or even negative wealth accumulation; and consider freedom of ex-slaves as the...

The casino entertainment industry is an intensely competitive environment with many operational risks, explaining why casino managers highly prioritize performance evaluation. This study develops a performance evaluation model based on data envelopment analysis (DEA) to determine casino...

An enhanced option pricing framework that makes use of both continuous and discontinuous time paths based on a geometric Brownian motion and Poisson-driven jump processes respectively is performed in order to better fit with real-observed stock price paths while maintaining the analytical...

Modern portfolio theory produces optimal portfolios from estimates of expected returns and a covariance matrix. Such optimal portfolios are efficient portfolios, that is they provide the maximum level of expected return for a given level of risk. We present a method for portfolio selection based...

The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past decade though, it led in a rather systematic way to bad investments decisions. One of MPT's main assumptions, investor risk aversion that translates into volatility aversion, biases...

We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a...

Models can be wrong and recognising their limitations is important in financial and economic decision making under uncertainty. Robust strategies, which are least sensitive to perturbations of the underlying model, take uncertainty into account. Finding the explicit set of alternative models...

Spanish Abstract: La relación existente entre el riego y la rentabilidad de un activo financiero es una preocupación constante del inversionista a la hora de conformar su portafolio de inversión. La principal meta en la construcción del portafolio consiste en distribuir óptimamente la...