Public spending in a model of endogenous growth with habit formation.
Gómez, Manuel A. (2010)
Discrete Dynamics in Nature and Society
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Displaying similar documents to “Growth-optimal portfolios under transaction costs”
Public spending in a model of endogenous growth with habit formation.
Maximizing banking profit on a random time interval.
Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
Journal of Applied Mathematics
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Liquidity Management and Futures Hedging Under Deposit Insurance: an Option-Based Analysis
Jyh-Horng Lin, Chuen-Ping Chang (2004)
The Yugoslav Journal of Operations Research
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Financial Claims and Product Market Competition: an Explanation for Permitting Banks to Hold Equity in Firms
Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
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Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord.
Fouche, C.H., Mukuddem-Petersen, J., Petersen, M.A., Senosi, M.C. (2008)
Discrete Dynamics in Nature and Society
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A stochastic programming approach to managing liquid asset portfolios
Helgard Raubenheimer, Machiel F. Kruger (2010)
Kybernetika
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Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over...
Sustainable economic growth and exhaustible resources: A model and estimation for the US.
Scholl, Almuth, Semmler, Willi (2002)
Discrete Dynamics in Nature and Society
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A discrete monetary economic growth model with the MIU approach.
Zhang, Wei-Bin (2008)
Discrete Dynamics in Nature and Society
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Assets/liabilities portfolio immunization as an optimization problem
Alina Kondratiuk-Janyska, Marek Kałuszka (2006)
Control and Cybernetics
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Build to Order and Entry/Exit Strategies Under Exchange Rate Uncertainty
Chin-Tsai Lin, Cheng-Ru Wu (2004)
The Yugoslav Journal of Operations Research
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Discrete analysis of portfolio selection with optimal stopping time.
Liang, Jianfeng (2009)
Journal of Applied Mathematics and Decision Sciences
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Growth, technology, and environmental change -- nonlinearity and non-constant returns.
Zhang, Wei-Bin (2002)
Discrete Dynamics in Nature and Society
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Constrained portfolio liquidation in a limit order book model
Aurélien Alfonsi, Antje Fruth, Alexander Schied (2008)
Banach Center Publications
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We consider the problem of optimally placing market orders so as to minimize the expected liquidity costs from buying a given amount of shares. The liquidity price impact of market orders is described by an extension of a model for a limit order book with resilience that was proposed by Obizhaeva and Wang (2006). We extend their model by allowing for a time-dependent resilience rate, arbitrary trading times, and general equilibrium dynamics for the unaffected bid and ask prices. Our...