In India, the electricity systems are chronically constrained by shortage of both capital and energy resources. These result in rationing and interruptions of supply with a severely disrupted electricity usage pattern. From this background, we try to analyse the demand patterns with and without...

In India, the electricity systems are chronically constrained by shortage of both capital and energy resources. These result in rationing and interruptions of supply with a severely disrupted electricity usage pattern. From this background, we try to analyse the demand patterns with and without...

It is common to use historical data in calculating the rates of return of risky options, and these data are used to calculate the mean and the variance, which are employed in the (MV) preference ranking. In this paper we study the effect of possible sampling error on the portfolio ranking. It is...

We provide a random variable characterization of the necessary and sufficient conditions for a shift of the distribution of rate of return on the risky asset in the two-asset portfolio problem to reduce demand for all strictly risk-averse expected-utility-maximizing investors. We also provide...

In a portfolio selection model with two risky investments having bivariate normally distributed returns, we show that Rubinstein's measures of risk aversion can yield the desirable characterizations of risk aversion and wealth effects on the optimal portfolios. These properties are analogous to...

It is well known that the investment policy maximizing the expected logarithm of wealth each period is a long-run optimal capital growth criterion. However, the growth-optimal strategy entails a considerable risk of losing a substantial portion of wealth for the investment in the short run. This...

This paper presents several new concepts for portfolio problems with independently distributed asset prices. A criterion is developed for including or excluding assets in an optimal portfolio for an investor maximizing the expected value of a von Neumann--Morgenstern utility function. The...

Active portfolio management is concerned with objectives related to the outperformance of the return of a target benchmark portfolio. In this paper, we consider a dynamic active portfolio management problem where the objective is related to the tradeoff between the achievement of performance...

Portfolio theory indicates that risk management should take place at the group level. Hedging at the project level or in the individual business areas may lead to suboptimal results. However, the efficiency of a profit centre depends on its management's being able to influence factors that are...