In this study, we use a Dynamic Stochastic General Equilibrium (DSGE) model to investigate the household portfolio channel of monetary and credit shocks transmission in Iran. In this regard, we developed a canonical New Keynesian DSGE model with financial and banking sectors. The model is estimated by Bayesian method for the period 1990-2012. The result showed that the current and expected pric...

This paper presents an optimal portfolio selection approach based on value at risk (VaR), conditional value at risk (CVaR), worst-case value at risk (WVaR) and partitioned value at risk (PVaR) measures as well as calculating these risk measures. Mathematical solution methods for solving these optimization problems are inadequate and very complex for a portfolio with high number of assets. For t...

The value of stock-based compensation is typically taxed as ordinary income to the employee at vesting, but subsequent gains on the stock are capital gains. I examine whether it is ever optimal for an employee to accelerate the payment of ordinary income tax in order for subsequent gains to be taxed at the lower capital gains rate. The employee may accomplish this, for example, by exercising a ...

We test the relation between ambiguity aversion and five household portfolio choice puzzles: nonparticipation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative US household survey, we measure ambiguity preferences using custom-designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion i...

The investor's asset allocation choice deeply depends on the trade-off between risk and return. The well-known mean variance method requires predetermined risk and expected return to calculate optimal investment weights of portfolio. The artificial neural network (ANN) with nonlinear capability is proven to solve large-scale complex problem effectively. However, the traditional ANN model cannot...

We provide an approximation scheme for the maximal expected utility and optimal investment policies for the portfolio choice problem in an incomplete market. Incompleteness stems from the presence of a stochastic factor which affects the dynamics of the correlated stock price. The scheme is built on the Trotter-Kato approximation and is based on an intuitively pleasing splitting of the Hamilton...