Employing Financial Futures to Increase the Return on Near Cash (Treasury Bill) Investments

Article Abstract:

The purpose of this article is to formulate and test a decision model to increase the return on a pool of liquid assets through the use of Treasury bill futures contracts. Recent literature has documented inefficiencies in the pricing of T-bill futures. These inefficiencies can be exploited to increase the return on a portfolio of T-bills without affecting the maturity of the portfolio. The solution technique used is dynamic programming. The results of applying a dynamic programming algorithm parameterized on available data to trade in real time are presented. The rules lead to increased returns. (Reprinted by Permission of Publisher.)

Management science, Investments, Algorithms, Algorithm, Futures, Dynamic programming, Decision Models

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An analysis of risk and return in the defense market: its impact on weapon system competition

Article Abstract:

The characteristics of the defense market and the risks and returns available in defense contracting are discussed. The effect of competition in major weapon systems markets and the aerospace industry is also examined. A theoretical framework was used to formulate hypotheses. Profitability of contractors seemed to vary with the capacity utilization of the aerospace industry, and the price the government has paid reflects this variation. In general, the defense business has been less profitable than commercial business. Competing major weapons systems do not necessarily result in significant savings for the government.

United States, Analysis, Economic aspects, Contracts, Aerospace industry, Weapons, Industrial development, Industrialization, Outsourcing, Cost control

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Prudent margin levels in the Finnish stock index futures market

Article Abstract:

The authors apply statistical extreme value theory to Finland's stock index futures market to extrapolate extreme price movements probabilities. Results indicate extreme events have not yet occurred.

Management, Beliefs, opinions and attitudes, Stock index futures, Margins (Futures trading)

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