We examine the optimal consumption and portfolio choice of an investor having an initial wealth endowment and an uncertain stream of income from non-traded assets. The income stream is not spanned by traded assets, and the investor is not allowed to borrow against future income, so the financial...

This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD. Using these insights, we develop simple Linear...

As a renewable energy source, wind power is gaining popularity as a favoured alternative to fossil fuel, nuclear and hydro power generation. In Europe, countries are required to achieve 15% of their energy consumption from wind by 2010 as the EU strives to meet its Kyoto obligations. Wind power...

We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....

The Dynamic Programming approach for a family of optimal investment models with vintage capital is here developed. The problem falls into the class of infinite horizon optimal control problems of PDE's with age structure that have been studied in various papers (see e.g. [11, 12], [30, 32])...

We consider a 3-term recurrence, namely CG_2step, for the iterative solution of symmetric linear systems. The new algorithm generates conjugate directions and extends some standard theoretical properties of the Conjugate Gradient (CG) method [10]. We prove the finite convergence of CG_2step, and...

In this paper we analyze the problem of measuring the advertising efficiency of the Leading US Advertisers during the period 2001-2006. We use the DEA (Data Envelopment Analysis) approach that enables to evaluate the relative efficiency in case of multiple inputs and outputs. In particular, the...

The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. The optimal control model has already been studied both in finite and infinite horizon with Dynamic Programming...

Under normality, the Bayesian estimation problem, the best linear unbiased estimation problem, and the restricted least-squares problem are all equivalent. As a result we need not compute pseudo-inverses and other complicated functions, which will be impossible for large sparse systems. Instead,...

In rapidly changing areas of law, the writing of rules is a challenging issue for lawmakers. Obsolescence impede law to capture the objective of an underlying policy. The legislator, the judge and the regulator are considered as producers of law who have to decide whether or not to invest in a...