We consider the infinite horizon optimal consumption-investment problem under the drawdown constraint, i.e. the wealth process never falls below a fixed fraction of its running maximum. We assume that the risky asset is driven by the constant coefficients Black and Scholes model. For a general class of utility functions, we provide the value function in explicit form, and we derive closed-form ...

A number of factors influence the efficiency, productivity, and welfare of transportation networks. Travel demand, user costs, and facility supply costs equili-brate on various time scales under a set of pricing (taxes and tolls), investment and ownership policies. Two types of equilibria exist in a transportation network, short-run traffic equilibrium and long-run supply-demand equilibrium. Th...

The paper econometricallyestimate investors‘ optimal portfolios are independent of their investmenthorizon. When ex ante diversification is investigated there appears to be no evidence of increased demand for equity over a longer investment horizons in India. That is, in India we obtain a flat equity profile over the investment horizons.Therefore, the mean-aversion in fixed-income explains the ...

The authors gauged the return-generating potential of four investment strategies: value weighted, 60/40 fixed mix, and unlevered and levered risk parity. They report three main findings: (1) Even over periods lasting decades, the start and end dates of a backtest can have a material effect on results; (2) transaction costs can reverse ranking, especially if leverage is used; and (3) a statistic...

We consider the infinite horizon optimal consumption-investment problem under the drawdown constraint, i.e. the wealth process never falls below a fixed fraction of its running maximum. We assume that the risky asset is driven by the constant coefficients Black and Scholes model. For a general class of utility functions, we provide the value function in explicit form, and we derive closed-form ...

BEA is studying proposals to change the treatment of insurance services in the national accounts. There are 5 proposed changes: investment income will be added as a supplement to the premiums paid by policyholders; investment income is to include interest, dividends and capital gains; a measure of expected investment income will be incorporated; a measure of expected claims will be incorporated...

Various alternatives are available when designing a data collection system for portfolio investment (PI) statistics, in the context of balance of payments (BOP) and international investment position (IIP). Such systems differ according to the reporting agents they target, periodicity and level of aggregation, while the corresponding results vary in terms of implementation and running costs, ava...

CONDENSED statements of Association finances for the year 1952, prepared by the auditing firm of G. P. Graham & Company, are published herewith, in order that the entire membership may be fully informed regarding the financial operations, obligations, and resources of the AAAS. The first two statements summarize operating receipts and expenditures. Once again the annuity payments to the Cattell...

We expose a theorem of Pila and Wilkie on counting rational points in sets definable in o-minimal structures and some applications of this theorem to problems in diophantine geometry due to Masser, Peterzil, Pila, Starchenko, and Zannier.