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The dual optimizer for the growth-optimal portfolio under transaction costs
The dual optimizer the growth-optimal portfolio transaction costs
2010/10/20
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Ka...
Limit Theorems for Partial Hedging Under Transaction Costs
Limit Theorems Partial Hedging Transaction Costs
2010/4/28
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall ri...
Grameen Bank: Impact, Costs, and Program Sustainability
Grameen Bank Costs Program Sustainability
2009/9/1
Grameen Bank of Bangladesh is known worldwide for its innovative credit delivery to the rural poor. By incorporating group-based lending, mandatory savings and insurance, repayment rescheduling in cas...
Complexity of Transaction Costs and Evolution of Corporate Governance
transaction costs corporate governance selective mechanism life cycles
2009/5/7
Conflicting agendas in corporate governance show the limits of the transaction costs approach and property rights theory. A top-down approach of control and monitor may have negative effect on the co...
Continuous-Time Markowitz's Model with Transaction Costs
continuous time mean-variance transaction costs singular stochastic control planning horizon
2010/11/1
A continuous-time Markowitz’s mean-variance portfolio selection problem is studied in a market
with one stock, one bond, and proportional transaction costs. This is a singular stochastic control prob...
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
capital growth theory transaction costs numeraire portfolios
2010/11/2
The aim of this work is to extend the capital growth theory devel-oped by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the noti...
2005年第18讲(总第454讲)
Volatile and Persistent Exchange Rates: How Important Are Distribution Costs?
2007/8/13
主讲人
曾志雄 博士
香港中文大学经济系
题目
Volatile and Persistent Exchange Rates: How Important Are istribution Costs?
时间
2005年6月8日（星期三）下午14:00-15:30
地点
北京大学中国经济研究中心万众楼小教室
工作语言
英文
联系电话
62751475
演讲简介
This paper studies ...
The Costs of the Public Trust Doctrine in Environmental Protection and Natural Resource Conservation
the Public Trust Doctrine Environmental Protection Natural Resource Conservation
2014/6/24
We examine the costs of the public trust doctrine in environmental and natural resource protection and conservation . We provide a model of litigation and settlement among disputing parties whe...
Complexity of Transaction Costs and Evolution of Corporate Governance
transaction costs corporate governance selective mechanism life cycles
2010/12/7
Conflicting agendas in corporate governance show the limits of the transaction costs approach and property rights theory. A top-down approach of control and monitor may have negative effect on the com...
Workers in Trinidad/Tobago Fight High Food Costs, Delays to Wage Increases(图)
Workers Wage
2007/4/11
9 April 2007,Labour relations in Trinidad and Tobago tilt pointedly toward turbulent unrest, as witnessed by mounted riot police and barricades that met 200 labour protestors on 29 March at Whitehall,...
29 March 2007,The International Accounting Standards Board (IASB) today issued a revised IAS 23 Borrowing Costs. The main change from the previous version is the removal of the option of immediately r...
This paper develops a model of a monetary economy in which individual firms are subject to idiosyncratic productivity shocks as well as general inflation. Sellers can change price only by ...
Chinatown: Transaction Costs in Water Rights Exchanges The Owens Valley Transfer to Los Angeles
Chinatown: Transaction Costs Water Rights Exchanges The Owens Valley Transfer Los Angeles
2014/6/26
I re-examine the notorious Owens Valley water transfer to Los Angeles, which is a pivotal episode in the political economy of contemporary western water allocation.Negotiated between 1905 and 1935, it...
Liquidity and Issue Costs in the Eurobond Market: The Effects of Market Integration
Liquidity Issue Costs Eurobond Market Market Integration
2014/6/26
We investigate and compare the issuance costs of Eurobonds before and after the completion of the Economic and MonetaryUnion (EMU) in 2002, and find that the
introduction of the euro has significant...
UNDERSTANDING THE TRANSACTION COSTS OF TRANSITION: IT’S THE CULTURE, STUPID
TRANSACTION COSTS TRANSITION CULTURE STUPID
2014/6/25
In the early 1990s, Central and Eastern Europecountires (C&EE) began transition into free-market, private-property economies. Thirteen years later, the Index of Economic Freedom published annually by ...