This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management maximize their own utility of compensation....

This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management maximize their own utility of compensation....

This paper extends existing asset pricing models by differentiating between the storable and non-storable components of aggregate consumption and by introducing a commodity storage technology to the economy. I use this extended model to elaborate the interactions between long-run consumption...

This paper contributes to the theories commodity prices and exhaustible resources by examining simultaneous optimal resource extraction and dynamic capacity building. I analyze the ways in which random demand process and irreversible capacity options shape the long-term price and volatility path...

This paper studies a resource extraction problem with capacity constraints, expansion options and stochastic demand process. The producer has to decide on the optimal rate of extraction and the optimal time to build further capacity simultaneously. Using numerical methods to solve the problem,...