Previous studies in dynamic programming have looked at the capital-consumption relationship. In this paper we will expand on such a basic model to include stochastic investment returns and government taxation. The conclusion is that taxation has a stabilizing effect on the optimal consumption...

We will in this paper investigate the empirical relationship between the number of new highs (lows) and percentage return for 2500 stocks. The theoretical argument is that stocks that historically have produced large long (short) returns all have in common that they systematically made new highs...

This paper will discuss large impact events in financial markets. Two different datasets are investigated; daily data for the SP500 Index from the period 1950 to 2010 and monthly data from 1997-2010 for 23 global stock market indices. We find that the daily returns for the SP-500 are more volatile...

The previous literature on momentum investments has only considered the so called unconstrained momentum return. This paper will investigate budget constrained momentum returns by using two different datasets. The conclusion is that unconstrained momentum returns systematically overestimate the...

Government usually tends to have two options. They can either pursue a tax revenue maximizing strategy or a growth maximizing strategy. The two approached do not necessarily go hand in hand. This paper derives and empirically estimates a simple laissez faire optimal taxation model from the...

The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown...

This paper will present a simple coin toss model which will illustrate the effect of collusion and its impact on the expected payoff for any given player. Such a game has direct links to community investment clubs where people are aggregating their investments. Without any knowledge about the...

Many different studies such as Kelly (1956) have an analyzed the characteristics of log-return investment models. We will in this paper discuss such models both from a theoretical and empirical perspective. We show by estimating the kernel density function for empirical data that the optimal bet...

This paper will discuss portfolio optimization, Quadratic Programming (QP) and Second Order Cone Programming (SOCP). We will use simulated and empirical data to compare the two optimization routines. Daily data for SP500 stocks from 2005 to 2010 was used to show that a 20-days rebalanced...

In economics the relationship between economic growth, debt, taxation and spending is an important one. In this paper we will use an optimal control model to analyze such relationship further. We find that lowering the tax rate is the only strategy that will increase growth and on the same time...