We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative variation of the stock price. The stock price follows a marked point process and the market is incomplete. We first characterize the equivalent martingale...

We consider a pure exchange economy under uncertainty in which the traders have the non-partition structure of information. They willing to trade the amounts of state-contingent commodities and they know their own expectations. Common knowledge of these conditions among all the traders can...

A tanulmány célja az értékpapírok esetében leggyakrabban alkalmazott két aukciós technika (az egyenáras és a diszkriminatív áras aukció) összehasonlító elemzése. A szakirodalom elsősorban az aukció várható bevétele szempontjából elemzi a módszereket. Az elméleti...

Market makers on financial markets often act as competitiors and step into cooperations with each other at the same time. Primarily, they quote prices for investors, thus providing liquidity on the customer market. But they also trade with each other in order to reduce their inventory risk. The...

Market makers on financial markets often act as competitiors and step into cooperations with each other at the same time. Primarily, they quote prices for investors, thus providing liquidity on the customer market. But they also trade with each other in order to reduce their inventory risk. The...

The paper investigates the calendar rebalancing effects on Zagreb Stock Exchange (ZSE) by analyzing daily returns of the CROBEX and the CROBIS indices from September 2003 to March 2025. A regression analysis and a simulated investment strategy are used to examine whether systematic differences...

This paper uses imperfect competition as a basis for modelling the export price for an aggregated commodity produced by the Norwegian private mainland economy. The long run solution is analysed using a cointegration technique. The dynamics are modelled according to two different approaches; a...

The formation of export prices is an area in which the linear quadratic adjustment cost (LQAC) model under rational expectations may be relevant in practice. This paper evaluates the empirical performance of the LQAC-model using Norwegian data and a new testing procedure suggested by Johansen...

Elias Khalil's "Information, Knowledge and the Close of Friedrich Hayek's System," argues that an internal contradiction exists within Hayek's political economy relating to his use of information and knowledge. As a result, Khalil argues that neither Hayek's critique of planning nor his defense...

Over the past two decades, an enormous amount of work has been done to improve the Expected Utility model. Two areas have attracted major attention: the possibility of describing unforeseen contingencies and the need to accomodate the kind of behavior ref