The objective of this paper is twofold: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and portfolio restrictions; and (2) to...

The objective of this paper is twofold: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and portfolio restrictions; and (2) to...

This paper tackles a number of issues that are central to cross-country comparisons of productivity. We develop a "dual" method to compare levels of total factor productivity (TFP) across nations that relies on factor price data rather than the data on stocks offactors required by standard...