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Small-Cost Asymptotics for Long-Term Growth Rates in Incomplete Markets

Melnyk, Yaroslav - 2016

This article provides a rigorous asymptotic analysis of long-term growth rates under both proportional and Morton-Pliska transaction costs. We consider a general incomplete financial market with an unspanned Markov factor process that includes the Heston stochastic volatility model and the...

Persistent link: https://www.econbiz.de/10013005692

Growth Effects in a Stochastic Model of Currency Crisis

Shankar, Rashmi - 2008

The main contributions of this paper are to introduce growth into a crisis framework and to derive the contingency plans for consumption and investment in a manner consistent with the stochastic nature of the state of the economy. The conclusion is that expected deviations from trend in the...

Persistent link: https://www.econbiz.de/10014123866

Characterizing Value and Growth Investing in Institutional Portfolios

Faugère, Christophe - 2010

Using a unique money manager database that allows managers to identify their own investment styles, we examine 4,754 non mutual fund value- and growth-oriented portfolios over the period 1999-2003. Consistent with style definitions, we find that on average, growth funds have price-earnings...

Persistent link: https://www.econbiz.de/10013138275

A stochastic dynamic model of trade and growth : convergence and diversification

Chatterjee, Partha; Shukayev, Malik - In: Journal of economic dynamics & control 36 (2012) 3, pp. 415-432

Persistent link: https://www.econbiz.de/10009515960

A stochastic frontier model with structural breaks in efficiency and technology

Li, Guangjie - In: Empirical economics : a journal of the Institute for … 49 (2015) 1, pp. 131-159

Persistent link: https://www.econbiz.de/10011318292

Stochastic optimal control modeling of debt crises

Stein, Jerome L. - 2003

What is an optimal or a sustainable external debt - for a country, region or sector? How should one monitor and evaluate debt to preclude a crisis? We use stochastic optimal control/dynamic programming to derive an optimal debt. The deviation of the actual from the optimal will serve as a...

Persistent link: https://www.econbiz.de/10001807230

Optimal investment in R & D with international knowledge spillovers

Aseev, Sergei; Hutschenreiter, Gernot; Kryažimskij, A. V. - 2002

Persistent link: https://www.econbiz.de/10001675374

Biodiversity and economic growth : stabilization versus preservation of the ecological dynamics

Antoci, Angelo; Borghesi, Simone; Russu, Paolo - 2004

Persistent link: https://www.econbiz.de/10002001315

Optimal Recycling Under Heterogeneous Waste Sources and the Environmental Kuznets Curve

Ouardighi, Fouad El; Kogan, Konstantin; Boucekkine, Raouf - 2018

We investigate how the relationship between economic growth and pollution is affected by the source of pollution: production or consumption. We are interested in polluting waste that cannot be naturally absorbed, but for which recycling efforts aim to avoid massive pollution accumulation with...

Persistent link: https://www.econbiz.de/10014116828

Two Stages of Economic Development

Gong, Gang - 2017

that drive economic growth. The two stages of economic development have been indicated in the growth theory of … macroeconomics and in the various “turning point” theories in development economics, including Lewis's dual economy theory, Kuznets … reveals these two stages. Using the two-stage theory of economic development, we find that the People's Republic of China …

Persistent link: https://www.econbiz.de/10012966411