This paper examines portfolios within the framework of a dynamic asset-pricing model when investors can trade equity assets as well as bonds of many different maturities. We specify the model so that investors have demand for both a risky and a safe income stream. We characterize the resulting optimal equilibrium stock and bond portfolios and document that optimal bond investment strategies par...

In this paper a two-sector dynamic model of business ‡uctuations is presented. It is a disequilibrium dynamic model with two laws of evolution (dynamic laws) built into it: prices of commodities change according to the market disequilibrium of supply and demand, while quantities change according to the stock disequilibrium and the shifting of the degree of utilization of productive capacity awa...

In this paper, we present a dynamic model modified with emission permit banking and pollution abatement, and investigate the effect of emission permit banking and pollution abatement on the production–inventory strategy of the firm. After introducing emission permit banking and pollution abatement, the cost function consists of the inventory holding and production costs, the cost of investment ...

Intangible capital has arguably become an important component of corporate value. However, it is still an open question whether uncertainty associated with investment in intangible capital is higher or lower than physical capital. We estimate the value of intangible capital in a dynamic stochastic general equilibrium model that features capital adjustment costs, investment-speci c technological...

the objective of this research is to tackle the emerging problem of jointly determining theoptimal retail price, the replenishment cycle, and the cost of preservation technology investment from an integrated perspective among the supplier and the manufacturer. this paper deals an integrated single-manufacturer single-retailer supply chain model for deteriorating items under revenue sharing on p...

Unsold new housing stocks may be closely related to housing market fluctuation, especially the difference between housing supply and demand, which is influenced by macroeconomic conditions. These factors simultaneously influence developers’ investment decisions and, thus, housing supply over time. However, previous research on the housing market has focused on explaining the statistical relatio...

resources for road infrastructure financing but also many other countries have been affected in relation to the impact of global financial crisis. In this context, we are talking about the so-called short-investment problem as a result of long-term lack of investment resources. Based on an analysis of road infrastructure funding system in the Czech Republic this article proposes a long-term pla...

this article presents a growth model consistent with economic situation of iran. various sectors of the economy are expressed by certain behavioral equations. the suggested model, is designed to incorporate findings of the leading theories of economic growth (harrod domar) models, lewis structural change theory, and the solow growth model. the model is calibrated using statistical data from ira...

This article presents some new results on an unexplored dataset on hedge fund performance. The results indicate that hedge funds follow strategies that are dramatically different from mutual funds, and support the claim that these strategies are highly dynamic. The article finds five dominant investment styles in hedge funds, which when added to Sharpe’s (1992) asset class factor model can prov...

This paper proposes a real options model for evaluating the biomass power generation investment in China. The uncertainties in the market price of electricity, CO2 price and straw price are considered. Meanwhile the dynamic relationship between installed capacity and fuel cost, as well as the long-term reduction of subsidy are described. Two scenarios, i.e., with the carbon emission trading sch...