This paper discusses the numerical solution of the coupled algebraic Riccati equations associated with the linear quadratic differential games. The Lyapunov iteration for solving the considered coupled equations is discussed by Li and Gajic (1994). We modify this iteration and derive the new...

Monte Carlo methods are used to study the size and the power of three versions of the Jarque and Bera Lagrangian multiplier test for normality, JB(g<SUB align="right"><SMALL>1</SMALL></SUB>, g<SUB align="right"><SMALL>2</SMALL></SUB>), JB(b<SUB align="right"><SMALL>1</SMALL></SUB>, b<SUB align="right"><SMALL>2</SMALL></SUB>) and, finally, JB(k<SUB align="right"><SMALL>1</SMALL></SUB>, k<SUB align="right"><SMALL>2</SMALL></SUB>). The difference between these tests comes from the different definitions (estimates) of sample skewness...</small></sub></small></sub></small></sub></small></sub></small></sub></small></sub>

A portfolio optimisation problem on an infinite time horizon is considered. Risky asset price obeys a logarithmic Brownian motion, and the interest rate varies according to a Markov diffusion process. This paper obtains an investment strategy considering one stock, one bond where the risk-free...

The debate about exploring the drivers of pollution, material consumption and energy use has centred on estimating environmental Kuznet curves for countries in a time series, cross-sectional or panel analysis. Very often, evidence is mixed since especially institutional frameworks, market...