We consider some problems in the stochastic portfolio theory of equity markets. In the first part, we maximize the expected terminal value of a portfolio of equities. The optimal investment problem is then solved by the stochastic control approach. We next consider a portfolio optimization...

This dissertation studies the consumer demand system focusing on its functional forms in the theoretical aspect and the empirical aspect. The theoretical part investigates the regularity property of the consumer demand system with the normalized quadratic functional form. We display the regular...

The wage gap between skilled workers and unskilled workers expanded in the U.S. Based on the essential idea of Stolper and Samuelson (1941) and following the mandated wage method of Haskel and Slaughter (2003), this dissertation examines whether the reductions of U.S. import tariffs contributed...

In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market data, and is yet simple enough to allow...

We offer a novel approach for solving optimal price adjustment problems, when the underlying process is a Geometric Brownian Motion (GBM) process. Our approach relies on characterizing the cumulative cost of deviation and the cost of adjusting price until the hitting time of the lower or upper...