相关论文: Taxation and Valuation

We design simple mechanisms to approximate the Gains from Trade (GFT) in two-sided markets with multiple unit-supply sellers and multiple unit-demand buyers. A classical impossibility result by Myerson and Satterthwaite showed that even…

The notion of Carry Value Transformation (CVT) is a model of Discrete Deterministic Dynamical System. In this paper, we have studied some interesting properties of CVT and proved that (1) the addition of any two non-negative integers is…

After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the…

Investors try to predict returns of financial assets to make successful investment. Many quantitative analysts have used machine learning-based methods to find unknown profitable market rules from large amounts of market data. However,…

Mean-reverting portfolios with volatility and sparsity constraints are of prime interest to practitioners in finance since they are both profitable and well-diversified, while also managing risk and minimizing transaction costs. Three main…

Carbon taxes are increasingly popular among policymakers but remain politically contentious. A key challenge relates to their distributional impacts; the extent to which tax burdens differ across population groups. As a response, a growing…

We investigate the impact of capital gains taxes on optimal investment decisions in a quite simple model. Namely, we consider a risk neutral investor who owns one risky stock from which she assumes that it has a lower expected return than…

We propose a distributionally robust index tracking model with the conditional value-at-risk (CVaR) penalty. The model combines the idea of distributionally robust optimization for data uncertainty and the CVaR penalty to avoid large…

Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…

In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation delays. We consider several cash reservoir models for the firm…

This study identifies and quantifies a significant informational friction embedded in the SEC Form 144 disclosure regime, characterized as predictive decoupling. Drawing on a theoretical foundation of welfare economics, the article argues…

Debt recycling is a leveraged equity management strategy in which homeowners use accumulated home equity to finance investments, applying the resulting returns to accelerate mortgage repayment. We propose a novel framework to model equity…

This paper studies the provision of incentives for information acquisition. Information is costly for an agent to acquire and unobservable to a principal. We show that any Pareto optimal contract has a decomposition into a fraction of…

The growing urgency of the climate crisis has driven the implementation of diverse policy instruments to mitigate greenhouse gas (GHG) emissions. Among them, carbon pricing mechanisms such as carbon taxes and emissions trading systems…

We incorporate the behaviour of tax evasion into the standard two-dimensional Ising model and augment it by providing policy-makers with the opportunity to curb tax evasion via an appropriate enforcement mechanism. We discuss different…

Data from national accounts show no effect of change in net saving or consumption, in ratio to market-value capital, on change in growth rate of market-value capital (capital acceleration). Thus it appears that capital growth and…

This article introduces a new mathematical concept of illiquidity that goes hand in hand with credit risk. The concept is not volume- but constraint-based, i.e., certain assets cannot be shorted and are ineligible as num\'eraire. If those…

An uncollateralized swap hedged back-to-back by a CCP swap is used to introduce FVA. The open IR01 of FVA, however, is a sure sign of risk not being fully hedged, a theoretical no-arbitrage pricing concern, and a bait to lure market risk…

Through its initiative known as the Climate Change Act (2008), the Government of the United Kingdom encourages corporations to enhance their environmental performance with the significant aim of reducing targeted greenhouse gas emissions by…

Missing data in financial panels presents a critical obstacle, undermining asset-pricing models and reducing the effectiveness of investment strategies. Such panels are often inherently multi-dimensional, spanning firms, time, and financial…