Solving long-term financial planning problems via global optimization

Article Abstract:

A search for solutions to long-term financial planning problems has led to the formulation of a stochastic program with decision rules featuring performance comparable to that of other investment strategies. Results of the global optimization financial planning evaluation reveals that the approach may be used for large-scale investments problems as well as real-life dynamically balanced investment problems resulting in a convergence to the optimal global point and an improved efficient frontier.

Portfolio Management, Methods, Management, Evaluation, Financial planning, Investments

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Fiscal policy in a simple two-country dynamic model

Article Abstract:

The national and international impacts of labor and capital income taxes are studied in a two-country setting. The qualitative effect of domestic labor income taxes are not affected by the system of capital income taxation. The source-based and residence-based regimes of capital income taxation are taken into account. It is shown that the qualitative effects of labor income taxes are independent of the taxation regime.

International aspects, Taxation, Labor supply, Labor force, Dynamics, Dynamics (Mechanics)

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Term premia in a simple term structure model

Article Abstract:

A study was done to analyze the term structure of interest rates. The return to maturity expectation hypothesis and the local expectation hypothesis from a previous structural model are evaluated. Results show that cases when long bond demands are positive can be derived and compared to cases when bond demand is zero.

Research, Interest rates, Utility theory, Utility functions

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