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Trade, Investment, and Governance: The Case of Korea-USA Free Trade Agreement
globalization FTA governance investor-state dispute policy sovereignty
2009/5/6
In this age of globalization, the FTA is flourishing in numbers. It is no exaggeration “the FTAs are covering the whole globe”. However, it has some defects that it is far from an ideal means of globa...
We characterize optimal taxation of foreign capital and optimal sovereign debt policy in a small open economy where the government cannot commit to policy, seeks to insure a risk-averse domestic const...
Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
Investment-Grade Tranches Large Homogeneous Pool
2010/10/29
We use the theory of large deviations to study the pricing of investment-grade tranches of
synthetic CDO's. In this paper, we consider a simpli ed model which will allow us to introduce some of the c...
How to quantify the influence of correlations on investment diversification
quantify influence correlations investment diversification
2010/12/20
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is ...
HOW WILL CHINA’S SAVING-INVESTMENT BALANCE EVOLVE?
Investment saving financing demographics corporate governance China
2009/1/16
This paper investigates how China’s saving, investment, and the saving-investment balance will evolve in the decades ahead. Household saving in China is relatively high, compared to OECD countries. Ho...
Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
Investment-Grade Tranches Synthetic CDO's
2010/10/29
We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a heterogeneous pool of names. Our main tool is a large-deviation...
Complementarity between private and public investment in R&D: A Dynamic Panel Data analysis
investment Technology Spillovers Complementarities Economic growth Dynamic Panel Data
2010/11/1
This paper investigates the relationship between private and public investment in R&D, while taking into account the effect of several instruments policies such as subsidies and taxes.
The Opportunity Process for Optimal Consumption and Investment with Power Utility
consumption semimartingale dynamic programming con-vex duality
2010/11/3
We study the utility maximization problem for power utility ran-dom fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is intr...
Optimal reinsurance/investment problems for general insurance models
Optimal reinsurance investment problems general insurance models
2010/11/2
In this paper the utility optimization problem for a general insur-ance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Br...
This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant inte...
Optimal Investment Strategy to Minimize Occupation Time
Optimal Investment Strategy Minimize Occupation Time
2010/12/20
We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and...
Investment Funds: What Next?
Currency trading strategies uncovered interest parity forward premium anomaly
2010/9/7
Many FX traders appear to be involved in strategies that explicity assume that the violations of uncovered interest rate parity will continue over their investment horizon. Models that try to explain ...
Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients
Optimal investment consumption Black--Scholes market Lévy-driven stochastic coefficients
2010/12/20
In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black--Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornst...
Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
Optimal solution investment problems via linear parabolic equations generated Kalman filter
2010/12/17
We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the mar...
Operational risk in current assets investment decisions: Portfolio management approach in accounts receivable
accounts receivable trade credit management incremental analysis value based management portfolio analysis
2014/3/10
The basic financial purpose of an enterprise is maximization of its value. Trade credit management should also contribute to the realization of this fundamental aim. Many of the current asset manageme...