The theory of efficient capital markets indicates that the prices in an efficient market fully reflect all available information. In much of the literature on efficient markets the term fully reflect is made operational with the assumption that the conditions for market equilibrium can be expressed as expected returns. Fama suggests that most expected return theories can be expressed in the following manner:(1) where — adopting Fama's notation — E is the expected value operator; Pjt is the price of security j at time t; Pj, t+1 is its price at t+1; is the one-period percentage return (Pj, t+1|Pjt); φt is a general symbol to represent whatever set of information is assumed to be fully reflected in the price at time t; and the tildes indicate that Pj, t+1 and rj, t+1 are random variables at t.

In [2] Hakansson and Liu presented a multiperiod portfolio model in which there is an optimal myopic policy. In particular, at any decision point j and state m the optimal amount to invest in opportunity i, namely , may be found by maximizing(42a) subject to(42b) (42c) , where the expectation is taken with respect to the β's, and the p's and r are positive constants (r > 1). Assumptions are made in [2] which guarantee that (42) has a unique optimal solution and that the set of vijm which satisfies (42b and 42c) is a nonempty, compact, convex set for all j and m.

In many nonlinear programming applications the objective function has an inherent uncertainty that depends upon a set of random variables that have a known distribution. If one wishes to optimize the expectation of the objective, as suggested by the expected utility theorem, then as is shown here one can often solve such problems by modifying standard nonlinear programming algorithms. To illustrate what is involved, the details and justification for the application of the interior parametric sequential unconstrained maximization technique and the generalized programming method for the solution of such problems are given. Some related problems with stochastic constraints for which the solution method applies are mentioned and an example of a portfolio selection problem is given.

To assure that the commercial banking industry's performance serves the “convenience and needs” of the public, bank supervisory authorities have been vested with broad powers to alter the competitive environment in bank markets. While several criteria have been used to evaluate the effects of entry, merger, branching, and other changes in the allocation of bank resources, the results have been largely inconclusive. Since the regulatory authorities have pursued somewhat conflicting objectives in seeking a “failure-proof” system that is also “efficient, ” there may be no single criterion for evaluation of bank behavior that is wholly consistent with the behavior predicted by the neoclassical theory of the firm.

The classic 1955 paper of Lorie and Savage has stimulated the development of mathematical programming approaches to the analysis of capital budgeting problems. A problem that they considered has been succinctly stated as:given the net present value of a set of independent investment alternatives, and given the required outlays for the projects in each of two time periods, find the subset of projects which maximizes the total net present value of the accepted ones while simultaneously satisfying a constraint on the outlays in each of the two periods.

This article interprets literature examining union effects on economic performance. Production function studies indicate small overall union impacts on productivity; positive effects, where they exist, appear to result from management response to decreased profit expectations and from a natural selection process. Lower profitability among unionized firms is well established; more interesting is the possibility that unions appropriate quasi rents deriving from long-lived tangible and intangible capital. The connection between unions, investment behavior, and productivity growth emerges as a particularly fruitful line of empirical inquiry, although it does not encourage a sanguine view of unionism's long-run impact.

Journal Article Import Substitution Policies: A Two-Sector, Fix-Price Model Get access John T. Cuddington John T. Cuddington Stanford University Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 48, Issue 2, April 1981, Pages 327–342, https://doi.org/10.2307/2296889 Published: 01 April 1981 Article history Received: 01 November 1979 Accepted: 01 September 1980 Published: 01 April 1981

Journal Article The Aggregate Excess Demand Correspondence and the Structure of Economies with Externalities Get access D. T. Scheffman D. T. Scheffman University of Western Ontario Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 42, Issue 4, October 1975, Pages 597–604, https://doi.org/10.2307/2296796 Published: 01 October 1975

Trader's Behaviour - An Alternative Explanation Get access T. I. Matuszewski T. I. Matuszewski Vancouver Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 25, Issue 2, February 1958, Pages 126–130, https://doi.org/10.2307/2296211 Published: 01 February 1958

Some Problems in the Estimation of Personal Savings and Investment Get access C. T. Saunders C. T. Saunders London Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 22, Issue 2, 1954, Pages 109–128, https://doi.org/10.2307/2296286 Published: 01 January 1954