Related papers: Factor endowment -- commodity output relationships…
The position of the EWS (economy-wide substitution)-ratio vector determines the Rybczynski sign pattern, which expresses the factor endowment--commodity output relationships, and the Stolper-Samuelson sign pattern, which expresses the…
We analyze the effects of energy and commodity prices on commodity output using a three-factor, two-good general equilibrium trade model with three factors: capital, labor, and imported energy. We derive a sufficient condition for each sign…
Feeny (1982, pp. 26-28) referred to a three-factor two-good general equilibrium trade model, when he explained the relative importance of trade and factor endowments in Thailand 1880-1940. For example, Feeny (1982) stated that the growth in…
We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…
Sector specific multifactor CES elasticity of substitution and the corresponding productivity growths are jointly measured by regressing the growths of factor-wise cost shares against the growths of factor prices. We use linked input-output…
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large…
Given the success and almost universal acceptance of the simple linear regression three-factor model, it is interesting to analyze the informational content of the three factors in explaining stock returns when the analysis is allowed to…
Energy companies need efficient procedures to perform market calibration of stochastic models for commodities. If the Black framework is chosen for option pricing, the bottleneck of the market calibration is the computation of the variance…
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…
In this paper, we present a novel modelling perspective to the food-bank donation allocation problem under equity and efficiency performance measures. Using a penalty factor in the objective function, our model explicitly accounts for both…
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…
This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.…
This article explores dynamic factor allocation by analyzing the cyclical performance of factors through regime analysis. The authors focus on a U.S. equity investment universe comprising seven long-only indices representing the market and…
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions.…
A notable difference between the ordinary and Hadamard products is that the Hadamard product of two singular positive semidefinite matrices can be nonsingular, and one of the factors can even be indefinite. We present an eigenvalue lower…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
Income and risk coexist, yet investors are often so focused on chasing high returns that they overlook the potential risks that can lead to high losses. Therefore, risk forecasting and risk control is the cornerstone of investment. To…
We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…
We study a production-inventory system with two customer classes with different priorities which are admitted to the system following a flexible admission control scheme. The inventory management is according to a base stock policy and…
This paper studies conditional allocation between a growth/technology ETF basket, denoted by $G$, and a defensive income/value-oriented ETF basket, denoted by $D$. The objective is not to discover a new standalone alpha factor, but to…