Portfolio Selection with minimum transaction lots: an approach with dual expected utility

In this paper we analyse the portfolio selectionproblem with minimum transactionlots in the context of non-expected utility theory. We assume that the decisionmaker ranks the alternatives by using a specific DualExpectedUtility. This functionallows portfolio values less or equal a fixed benchmark tobe weighted inadifferent way from values greater than the fixedbenchmark. Under normallydistributedreturns and opportunechoice ofthe benchmark, the suggested approach leads to an NP-complete problemandhas the advantage ofusing mixed linear programming to obtainthe optimal portfolio. We also show resultsobtained by implementing the model on the Italian stock market. (keywords: dual expectedutility, portfolio selection, NP-completeness, linear programming with mixed variables)dual expected utility, portfolio selection, NP-completeness, linear programming with

Settore sommerso e politiche di emersione: un approccio stocastico

The aim of this paper is to analyse the role of uncertainty in shaping the decisions of firms in the underground economy. Following the option value approach, we present a dynamic model which captures (i) the irreversibility of riallocation decisions from the underground sector to the legal sector and (ii)the option value od delaying the riallocation decisions when stochastic shocks can change the net present returns in both the legal and the underground sectors. The model allow us to draw a number of interesting policy implications. Last we use the theoretical results to address the specific issues that arise in the case of the Mezzogiorno of Italy.decision-making under uncertainty, stochastic programming, underground economy

A Mixed-type Distribution for Inventory Management

Abstract This paper is concerned with the determination of optimal base-stock levels under the hypothesis of stochastic demand characterized by a mixed-type distribution. The advantages arising from the use of a mixed-type distribution are examined from an analytical point of view considering a distribution with a single discontinuity point. Some implications are discussed and a numerical analysis concerning two different non-negative distributions is performed

Modelli per la struttura a termine con volatilità stocastica (una rassegna critica)

Nel presente lavoro vengono evidenziate le problematiche che hanno portato alla introduzione di modelli per la struttura per scadenza con volatilità stocastica e viene riproposta una lettura dei modelli più noti in letteratura inserendoli a seconda delle loro caratteristiche o tra i modelli affini o tra i modelli nei quali si ipotizza che la volatilità del tasso a breve abbia un andamento di tipo GARCH. Si analizzano inoltre le problematiche connesse con la loro verifica empirica.Struttura a termine, modelli affini, volatilità stocastica

Gli effetti della regolamentazione sullattività di insider trading

L'insider trading è configurato nella dottrina economica come una tipica asimmetria informativa ex ante; tale fenomeno prevede che la superiorità informativa di una parte a scapito dell'altra esiste ancora prima del verificarsi di un dato intervento. Solitamente l'insider trading viene visto ed esaminato come un fenomeno negativo; molti studiosi ed economisti hanno invece dimostrato che tale fenomeno potrebbe avere effetti positivi sull'efficienza informativa dei mercati finanziari, sugli incentivi manageriali e sulla distribuzione di ricchezza presso gli investitori. Il modello da noi esaminato rafforza quest'ultima posizione evidenziando, come la politica di regolamentazione che si concretizza in sistemi di penalizzazione e controllo intermedi e che permette un livello minimo di insider trading consente un miglioramento dell'efficienza del mercato. Ipotizzando che gli operatori che dispongono di informazioni riservate siano avversi al rischio, il lavoro evidenzia come regolamentazioni basate esclusivamente su pene pecuniarie non frenano gli operatori sul mercato e suggerisce la necessità di pene accessorie che intacchino la reputazione della persona.asimmetrie informative, utilità attesa

Dynamic portfolio selection in a dual expected utility theory framework

In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.Portfolio Selection, Dual Utility Theory, Wang Transform

Portfolio selection: a linear approach with dual expected utility

This paper analyses the portfolio selection problem under the non-expected utility theory. We assume that the decision maker ranks the alternatives by using a specific Dual Expected Utility. This function allows returns which are less than or equal to a fixed benchmark to be weighted in a different way from those greater than the fixed benchmark. In this model the implicit risk measure is more general than the standard deviation and it coincides with the downside risk only due to the appropriate choices of the parameters. Under normally distributed returns and appropriate choices of the benchmark, the approach suggested is equivalent to the Markowitz model in term of efficient frontier and moreover has the advantage of using linear programming to abtain the optimal portfolio. It can thus handle high dimensional problem. We also show result obtained by implementing the model on the Italian stock market.dual expected utility, portfolio selection, linear programming

Innovazione tecnologica e offerta di skill: una simulazione del ruolo della storia e delle aspettative in unarea in via di sviluppo

In this paper a dynamic stochastic model is used to simulate the matching process between skills demand and supply in a segmented labor market of a typical developong area where labor market frictions are pervasive. We address the issue of the emergence of a "bad" outcome i.e. equilibrium towards the low level of development, given adverse initial conditions. In a second step we discuss the sensitivity of the endogenous dynamics yo parameters changes due to policy/institutional reforms that change the expectations of the economic agents.stochastic model, innovation, labor market frictions