Classical solutions of linear regulator for degenerate diffusions

We study a stochastic control problem for linear degenerate systems. We establish the existence of a classical solution of the degenerate Bellman equation by the technique of viscosity solutions, and the optimal policy is shown to exist from the optimality conditions

Viscosity solution of linear regulator quadratic for degenerate diffusions

The paper studied a linear regulator quadratic control problem for degenerate Hamilton-Jacobi-Bellman (HJB) equation.We showed the existence of viscosity properties and established a unique viscosity solution of the degenerate HJB equation associated with this problem by the technique of viscosity solutions

On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions

The paper studies the smoothness of solutions of the degenerate Hamilton–Jacobi–Bellman (HJB) equation associated with a linear-quadratic regulator control problem. We establish the existence of a classical solution of the degenerate HJB equation associated with this problem by the technique of viscosity solutions, and hence derive an optimal control from the optimality conditions in the HJB equation

Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function

A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption.We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to transform the dimension of the state space by changing the variables.By the viscosity solution method, we established the existence of viscosity solution of the transformed Hamilton-Jacobi-Bellman equation associated with this model.Finally, the optimal consumption policy is derived from the optimality conditions in the HJB equation

Cost Efficiency Measurement of Leasing Companies with SFA and DEA Approach

Nowadays the leasing industry is a successful industry in economic conditions, but there are few studies that deal with the assessment of leasing companies' efficiency in Bangladesh. Previous research for leasing company's' efficiency measurement usually adopts either DEA or SFA method, but not both of them. Therefore, this paper is aimed to measure the cost efficiencies of 15 leasing companies from 2002 to 2008 by applying both SFA and DEA models with four inputs and two outputs. The results suggest that leasing companies have generally less experience in the allocation of resources and in the improvement of cost efficiency. INTRODUCTION Performance evaluation of the leasing companies is a most important issue because leasing has a vital role in economic development and growth and also contributes a major share in the gross domestic production (GDP) [4] developed a model for the evaluation of service quality in auto-industry leasing in Iran. They used the factor analysis to assess service quality and customer satisfaction in the form of performance. Majazi Dalfard et al. [16] applied the super efficiency DEA model to rank efficient leasing companies due to the failure of basic DEA models, there are other methods that can be used to rank the DMUs [19] in future studies. There are only a few literatures available in the subject of leasing companies in Bangladesh. For instance, Khanam The measure of inefficiency derived from micro-economic theory [1], Charnes, Cooper, and Rhodes [9,10], and Banker, Charnes, and Cooper The paper is organized as follows. Section 2 discusses the background and literatures for leasing companies in Bangladesh. Section 3 presents the methodologies of SFA and DEA. Section 4 assesses the efficiency ratings of leasing companies. Finally, the main results and suggestions for future research are summarized

Evaluating advance efficiency of Bangladeshi online banks using stochastic frontier analysis

Online bank advance efficiency and various factors causing the efficiency level of banks are investigated using stochastic frontier technique for the period 2001-2007.A sample of 20 banks are used following four different groups like NBs (National Banks), ISBs (Islamic Banks), FBs (Foreign Banks), and PBs (Private Banks). A group wise, year wise, and individual banks with their efficiency scores are compared in this study. The significant variations of advance efficiency of banks during this reference period were observed. The year wise average efficiency of banks was estimated (0.516) from the advance frontier model while group wise average technical efficiency was 0.592. Nationalized Commercial Bank had the highest advances producing group compared to others; Private Banks are at the lowest level in producing advances. ISBs, FBs, and PBs are observed inefficient in producing advances.The most efficient banks are found to be government owned Sonali and Janata Bank with efficiency score (0.94) while lowest efficient bank was experienced by Shahajalal Islamic Bank with efficiency score of 0.34

Efficiency and productivity change of selected online banks in Bangladesh: A non-parametric Malmquist approach

This study evaluated the technical efficiency change and productivity change of national commercial banks (NCBs) and private banks (PBs) by employing cost data envelopment analysis (DEA), profit DEA and Malmquist based DEA.The cost inefficiency and profit efficiency are observed slightly higher for PBs than NCBs.The average technical and allocative efficiency are found 75.4% and 35.9% respectively by cost DEA; while 74.0% and 31.8% for profit DEA.By profit DEA, on an average bank-wise and year-wise productivity change, efficiency change and technical efficiency change are found higher than cost DEA.The average cost and average profit efficiency is observed 28.7% and 24.2% respectively.Bank-wise average productivity change and technical efficiency change are decreased at 4.2% and 5.1% respectively whereas the efficiency change is increased at 0.9% in profit DEA. The bank-wise productivity change and technical efficiency change and efficiency change are recorded decreased at 8.4%, 6.2% and 1.8% respectively in cost DEA.It is expected that there exist a huge gap among NCBs in terms of cost efficiency, so NCBs should decrease cost after performing adequate inquiries so that these cost could be recovered

Evaluation of stock market technical efficiency with a comparison of groups of companies in Dhaka Stock Exchange

The objective of this study was to measure stock market efficiency of the groups of companies, such as Group-A (financial), Group-A (non-financial), Group-B and Group-Z of Dhaka stock exchange (DSE) market in Bangladesh applying the Stochastic Frontier approach, incorporating technical inefficiency effect model. Among the four groups, most efficient group was Group-A (financial) and most inefficient group was Group-Z.This study showed that the mean technical efficiency of the companies of DSE market during the period 2000 to 2008 was 0.8782. This implied that 87% of potential output was being realized by the companies of DSE market.In case of using production function model; it was found that the Translog production function was more preferable than the Cobb-Douglas production function. The technical efficiency rate was found gradually increasing over time in the stock market in Banglades

Stochastic frontier model with distributional assumptions for rice production technical efficiency

Efficiency in agricultural production is indicative of the efficiency level of farm households in their farming activities. Farmers in developing countries do not make use of all the potential technological resources, thus making inefficient decisions in their agricultural activities. Herein, technical efficiency in relation with the production of three types of rice crop (Boro, Aus and Aman) was evaluated, with some determinants of technical efficiency identified, in Bangladesh.It was attempted, throughout this study, to access the status of technical efficiency in rice production in Bangladesh for panel data while using the Stochastic Frontier Production Model with either of truncated normal or half-normal distributional assumptions.Both time-variant and time-invariant inefficiency effects models were estimated, one at a time.Collected data from agricultural sector pertaining to three main rice crops in Bangladesh for the period of 1980 to 2008 were made used of throughout the study.The results revealed that technical efficiency gradually increased over the reference period with the half normal distribution being found preferable to the truncated normal distribution as regards the technical inefficiency effects.The value of technical efficiency was found high for Boro rice while low for Aus in comparison with Aman rice in Bangladesh for both distributions in either of time-variant or invariant ones.It was observed that the most efficient rice production system has occurred for the case of Boro with a technical efficiency of 0.98. Yearwise mean technical efficiency increased during the reference time periods

An empirical analysis of higher moment capital asset pricing model for Bangladesh stock market

Capital Asset Pricing Model (CAPM) describes a relationship which is linear between expected return and risk of an asset.Within the contents of this paper, the higher moments of return distributions for companies listed in the Dhaka Stock Exchange (DSE) market have been inspected for the period of January 2005 to December 2009. The mean-variance CAPM model is extended by taking higher moments-Skewness and Kurtosis.Monthly stock returns from 80 non-financial companies, covering ten sectors (Engineering, Food & Allied, Fuel & Power, Textile, Pharmaceuticals, Services & Real Estate, Cement, Tannery, Ceramic and Miscellaneous) are studied in this research.From the empirical analysis, it is observed that the intercept term is significantly different from zero and insignificant relationship between beta and excess returns both in mean-variance CAPM and higher moment CAPM conditions. This means that the market excess returns provide no explanation for the asset rate of return, whether or not third and fourth moments are considered in the regression model.But, when the higher moments are introduced, the adjusted R-square increases 0.037 to 0.257. It is noticed that the risk premium for co-skewness risk is positive for the period 2005-2009, indicating that the co-skewness risk is compensated in the DSE market for the studied period. Also, the co-kurtosis risk is rewarded by the market. Thus, in describing risk-return relationship in emerging markets like Bangladesh stock market, the higher moment CAPM performs comparatively well