A recent article in this Journal employs the capital-asset pricing model for the analysis of the newsboy problem and shows how the covariance risk affects the optimal inventory policy. The purpose of this paper is to sharpen the optimality conditions given by the article and hence to provide a...

The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth processes of individual traders. We use intra-day data from the Toronto Stock Exchange to provide empirical evidence of...

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...

Duality methods of linear and convex programming are applied to impute definite marginal values to the fixed inputs of a hydroelectric plant from the operating profit. Our earlier analysis of pumped storage (of energy and other cyclically priced goods) is thus extended to valuation of an...