Journal Article Reserve Stocks as External Targets and the Stability of Alternative Exchange Rate Systems Get access Jay H. Levin Jay H. Levin Wayne State University Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 44, Issue 1, February 1977, Pages 59–69, https://doi.org/10.2307/2296973 Published: 01 February 1977 Article history Received: 01 November 1975 Accepted: 01 August 1976 Published: 01 February 1977

Journal Article Optimal Control and Stabilization Policy: An Application to the Coffee Economy Get access Alan H. Gelb Alan H. Gelb University of Essex Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 44, Issue 1, February 1977, Pages 95–109, https://doi.org/10.2307/2296975 Published: 01 February 1977 Article history Received: 01 December 1974 Accepted: 01 August 1976 Published: 01 February 1977

Paul H. Cootner, The Theorems of Modern Finance in a General Equilibrium Setting: Paradoxes Resolved, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 4, Proceedings of the 1977 Western Finance Association Meeting (Nov., 1977), pp. 553-562

We have formulated the mean-variance models of portfolio selection with stochastic cash demand. The results of the general model have indicated that the characteristic of the investor's stochastic cash demand, the liquidity risks of assets (measured by the covariance between an asset's return and the cash demand), and the structure of transfer costs also play important roles in the determination of the investor's optimal portfolio. We have also shown that the model of portfolio selection with stochastic cash demand can be greatly simplified if the assumption of symmetric transfer costs is invoked. Furthermore, it has been shown that the simplified model can be reformulated and solved by the LP techniques. Thus, LP formulation of portfolio selection with stochastic cash demand should have practical usefulness.Finally, along the line of works by Chen, Jen and Zionts [3, 4], Pogue [14, 15] and Stone and Reback [20], one can extend the analysis in this paper to the problem of dynamic portfolio management with stochastic cash demand and transfer costs.

Consider a productive investment project (or financial security), which would yield a stream of cash flows, positive and negative, over time. A major index of the acceptability of such a project is its internal rate of return, i.e., that rate of interest which discounts all the cash flows from the project to a present worth of zero. Soper [8] has developed a sufficient condition for the internal rate to be unique in the interval, (−1, ∞), along the real line. Then, if the project requires an initial outlay, if Soper's condition holds, and if the unique internal rate exceeds the market rate of interest in each period of the project's life, the project's present worth is positive, and hence, other things being equal, it is worth undertaking.

Ian H. Giddy, A Note on the Macroeconomic Assumptions of International Financial Management, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 4, Proceedings of the 1977 Western Finance Association Meeting (Nov., 1977), pp. 601-605

[This paper considers the least squares estimator of @? extasciicircum2 in the linear model with disturbances generated by a first-order autoregressive process. It is well known that the estimator is biased. In this paper an attempt is made to establish bounds for the bias. These bounds depend on n, k, and @r, where n is the number of observations, k is the number of parameters, and @r is the (positive) coefficient of the autoregressive process.]

H. Neudecker, Bounds for the Bias of the Least Squares Estimator of @s^2 in the Case of a First-Order Autoregressive Process (Positive Autocorrelation), Econometrica, Vol. 45, No. 8 (Nov., 1977), p. 2006

The model, 558.—Product taxes, 563.—Capital taxes, 565.—Imposition of capital taxes, 566.—Application of BTA's to capital taxes, 568.—Adjustments to the earnings of capital, 574.—Conclusions, 577.

Introduction, 15.—The welfare criterion, 16.—Assumptions, 18.—Calculating program patterns, 21.—Counterexamples to Steiner's result, 23.—Ownership structure, channel capacity, and program patterns, 26.—Consumer surplus and total surplus, 31.—Welfare conclusions and policy implications, 35.