Optimal Opacity on Financial Markets

Optimal Financial Markets Liberalization

This paper examines the optimal financial markets liberalization policy for a large country in a two-country general equilibrium production economy. In our model, household’s portfolio choice is modeled separately from firm’s investment decision and financial markets play an important role in the allocation of capital between production technologies. We find that the type of production technolo...

Optimal Liberalization of Financial Markets

This paper shows that the type of production technology, specifically whether it exhibits decreasing returns to scale in capital, is an important factor in evaluating the welfare gain from liberalizing financial markets, and hence the optimal financial structure for a country. As financial markets become completely liberalized, countries gain from a better capital allocation as a result of impr...

Computing Optimal Recovery Policies for Financial Markets

The current nancial crisis motivates the study of correlated defaults in nancial systems. In this paper we focus on such a model which is based on Markov random elds. This is a probabilistic model where uncertainty in default probabilities incorporates expert's opinions on the default risk (based on various credit ratings). We consider a bilevel optimization model for nding an optimal recovery ...

On Financial Markets Trading

Starting from the observation of the real trading activity, we propose a model of a stockmarket simulating all the typical phases taking place in a stock exchange. We show that there is no need of several classes of agents once one has introduced realistic constraints in order to confine money, time, gain and loss within an appropriate range. The main ingredients are local and global coupling, ...

Essays on Financial Markets