Monte Carlo computation of optimal portfolios in complete markets

Article Abstract:

A method that relies exclusively on Monte Carlo simulation is introduced in order to compute numerically optimal portfolios values for utility maximization problems. The studies reveal that risk aversion has by far the greatest influence on the value of the optimal portfolio.

Commercial Banks, Investment Banking and Securities Dealing, Portfolio Management, Portfolio & Funds Management, Monte Carlo method, Monte Carlo methods

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Optimal management of fringe entry over time

Article Abstract:

The problem of a dominant company that is facing the entry of a competitive fringe is investigated. A new methodology that provides time-invariant feedback Stackelberg equilibrium to find the relationship between the co-state variables and the state variables is presented.

Equilibrium (Economics), Market entry

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Speculative markets and the effectiveness of price limits

Article Abstract:

The effectiveness of price limits in speculative markets is studied. The results of the study reveals that price limits have the potential to reduce both volatility and deviations from fundamentals.

Speculation, Price control, Price regulations

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