Showing 1 - 10 of 47
We study the destabilizing effect of hedging strategies under Markovian dynamics with transaction costs. Once transaction costs are taken into account, continuous portfolio rehedging is no longer an optimal strategy. Using a non-optimizing (local in time) strategy for portfolio rebalancing,...
Persistent link: https://www.econbiz.de/10010986850
We study the destabilising effect of dynamic hedging strategies on the price of the underlying asset in the presence of transaction costs. Once transaction costs are taken into account, continuous portfolio re-hedging is no longer an optimal strategy. Using a non-optimising (local in time)...
Persistent link: https://www.econbiz.de/10005091112
This paper develops a real option model in which the interaction between debt, liquidation policy and risky investments is studied. We consider a manager who owns the firm and faces the opportunity to invest in risky pro jects which may bo ost current profits at the cost of bankruptcy if they...
Persistent link: https://www.econbiz.de/10005069748
This paper develops a real option model in which the interaction between debt, liquidation policy and risky investments is studied. We consider a manager who owns the firm and faces the opportunity to invest in risky projects which may boost current profits at the cost of bankruptcy if they turn...
Persistent link: https://www.econbiz.de/10005023066
We introduce explicitly the effort as a choice variable in a continuous time utility maximisation framework of an executive who is partly compensated with stock options. We solve the model in the case where the executive is not allowed to trade in the company’s stock but is able to achieve a...
Persistent link: https://www.econbiz.de/10005808785
Persistent link: https://www.econbiz.de/10005397248
Persistent link: https://www.econbiz.de/10010866817
Self-Organised Criticality (SOC) is a concept developed over the last decade from dynamic systems analysis that aims to investigate the transition trajectories of evolutionary systems. The main emphasis in SOC is on the analysis of the impact of slow exogenous forces in combination with strong...
Persistent link: https://www.econbiz.de/10010867907
This paper investigates the research and development activity of heterogeneous and rationally bounded firms. The latter conduct this activity through in-house research and by collecting information originating in other firms' spillovers. Thus, research and development activity owes both to...
Persistent link: https://www.econbiz.de/10005006624
This paper attempts to generalise some results obtained in previous work showing the conditions under which paradigm setters emerge. We distinguish two different but definitely complementary and overlapping ways through which searching and learning occur. The first exploits the spillover...
Persistent link: https://www.econbiz.de/10005706329