We use stochastic optimal control-dynamic programming (DP) to derive the optimal foreign debt/net worth, consumption/net worth, current account/net worth, and endogenous growth rate in an open economy. Unlike the literature that uses an Intertemporal Budget Constraint (IBC) or the Maximum...

The standard literature concerning intertemporal optimization in international finance is based upon certainty equivalence, and ignores risk and uncertainty. It therefore is not helpful concerning risk management and evaluation of the risk involved in the holding of international short-term...

We consider an optimal investment model in which the goal is to maximize the long-term growth rate of expected utility of wealth. In the model, the mean returns of the securities are explicitly affected by the underlying economic factors. The utility function is HARA. The problem is reformulated...

One of the advantages to analyze the economic links between two countries on the basis of stock market data, rather than aggregate economic data published by national statistical offices, is that stock market data are readily available, allowing analysis in almost real time. We consider a...

Modeling the evolution of formal institutions in relation to the evolution of economic and informal institutionaldevelopment. Discrete time optimization; simulation. The punctuations and the evolution formal institutional quality depends on the extent of economic heterogenety.

Modelin the local and central government behaviours to assess the welfare/efficiency/equity impacts of fiscal decentralization. Static optimization; simulation The relative welfare and efficiency effects of fiscal decision mechanisms (defined as social planners optimum choice of fiscal...