This dissertation consist of three contributions to financial and insurance mathematics. The first part considers numerical methods for dynamic portfolio optimisation in the expected utility model. The aim is to compare the risk-neutral computational approach (RNCA) also known as the martingale approach to stochastic dynamic programming (SDP) in a discrete-time setting. The main idea of the RNCA is to use the completeness and the arbitrage free properties of the market to compute the optimal consumption rules and then determine the trading strategy that finance this optimal consumption. In contrast, SDP solves for the optimal consumption and investment rules simultaneously using backward recursion and the principle of optimality. The setting that we consider is a discrete time and state space lattice. We provide some new theoretical results relating to the Hyperbolic Absolute Risk Aversion class of utility functions as well as propose a straightforward implementation of RNCA in binomial and trinomial lattices. Moreover, instead of discretizing the Hamilton-Jacobi-Bellman equation with possibly more than one state variable, we use symbolic algorithms to implement stochastic dynamic programming. This new approach provides a simpler numerical procedure for computing optimal consumption-investment policies. A comparison of the RNCA with SDP demonstrates the superiority of the RNCA in terms of computation. The second part considers the pricing of contingent claims using an approach developed and applied in applied in insurance. This approach utilize probability distortion functions as the dual of the utility functions used in financial theory. The main idea of the dual theory is to distort the subjective probabilities rather than outcomes to express the investor????????s risk aversion. In the first part, the RNCA for asset allocation uses the same principle as risk-neutral valuation for derivative pricing. The idea of the second part of this research is to show that the risk-neutral valuation can be recovered from the probability distortion function approach, thereby establishing consistency between the insurance and the financial approaches. We prove that pricing contingent claims under the real world probability measure using an appropriate distortion operator produces arbitrage-free prices when the underlying asset prices are log-normal. We investigate cases when the insurance-based approach fails to produce arbitrage-free prices and determine the appropriate distortion operator under more general assumptions than those used in Black-Scholes option pricing. In the third part we introduce dynamic portfolio optimisation with risk measures based on probability distortion function and provide a formal treatment of this class of risk measures. We employ the RNCA to study the consumption-investment problem in discrete time with preferences consistent with Yaari????????s dual (non-expected utility) theory of choice. As an application, we first consider risk measures based on the Proportional Hazard Transform that treats the upside and downside of the risk differently and secondly a risk measure based on the standard Normal cumulative distribution function. When the objective is to maximise a dual utility of wealth, and the underlying security returns are normal, the efficient frontier is found to be the same as in the mean-variance portfolio problem for an equivalent risk tolerance. When the objective is to maximise a dual utility of consumption, then ????????plunging???????????? behaviour occurs ( investing everything is the risky asset). Other properties of the optimal consumption-investment policies in the dual theory are also investigated and discussed.

Thesis (Ph. D.)--Ohio State University, 1984. / Includes vita. Includes bibliographical references (leaves 100-104). Available online via OhioLINK's ETD Center.

Thesis (Ph. D.)--University of Chicago Graduate School of Business, August 1999. / Includes bibliographical references. Also available on the Internet.

The volatility of share prices is an important variable in most asset pricing models and option pricing formulas.Valuation of volatility of share prices have become a major challenge with the development of the knowledge-driven economy as evidence suggest that not all elements of company wealth are physical in nature. The purpose of this project entitled “The intensity of the firm’s intangible asset on the volatility of their stock price” is to check if the intensity of intangible assets in a firm’s balance sheet affects the volatility of their stock price. A brief overview of intangible assets is also included in this study. An OLS regression was run and the results of the entire data set gives a negative correlation between intensity of intangible assets and volatility of stock prices probably due to the fact that the volatility of the firm share prices are driven by uncertainty and expectation of future growth. An industry-grouping regression was carried out, the results shows that for basic pharmaceuticals there is a positive correlation between the intensity of intangible assets and their price volatility while the other three industry groups produce a negative correlation. The study relies on secondary data of randomly selected fourty (40) publicly traded companies in Europe from four different industry groupings namely: manufacture of basic pharmaceuticals, manufacture of food products and beverages, information technology and manufacture of basic metals.

These two mixed method studies are among the first to focus on resilience among Canadian Aboriginal (i.e., First Nations, Métis, and Inuit) youth living in out-of-home care. The first study was quantitative and consisted of cross-sectional and longitudinal components. For the cross-sectional investigation, the participants consisted of 510 First Nations (237 females, 273 males aged 10-16 years), 39 Métis (15 females, 24 males aged 10-16 years), and 10 Inuit young people (2 females, 8 males aged 10-16 years) who were drawn from an ongoing study of young people in out-of-home care in Ontario collected during 2007-2008. The second Canadian adaptation of the Assessment and Action Record (AAR-C2-2006; Flynn, Ghazal, & Legault, 2006) from the ongoing Ontario Looking After Children (OnLAC) project was used to collect data. The criterion variables were the young person’s self-esteem, score on a suicidality index, educational performance, pro-social behaviour, and positive emotional and behavioural development. The predictor variables included the young person’s gender, ethnicity, age, behavioural difficulties, cognitive impairments, attainment of LAC goals, and number of developmental assets. The longitudinal investigation used the same design as study one, but examined the OnLAC data for year eight (2008-2009) in following 260 young people from the sample in study one. The second study was qualitative and involved interviewing 21 First Nations children and adolescents residing in out-of-home care in northern Ontario to obtain their views about resilience and the factors related to the presence or absence of resilient outcomes. The results provided some support for the hypothesis, in that a greater number of developmental assets were related to more positive outcomes on four of the five criterion variables. The results of the focus groups and in-depth interviews suggested that family members, members of the community (coaches), teachers, and child welfare workers, all play important roles in fostering the youths’ success.

Project (M.A.) - Simon Fraser University, 2005. / Project (Dept. of Economics) / Simon Fraser University. Also issued in digital format and available on the World Wide Web.

Thesis (M.S.)--University of Nevada, Reno, 2008. / "December, 2008." Includes bibliographical references (leaves 23-24). Library also has microfilm. Ann Arbor, Mich. : ProQuest Information and Learning Company, [2009]. 1 microfilm reel ; 35 mm. Online version available on the World Wide Web.

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We study optimal replacement and abandonment decisions for real assets, when both revenues and costs are uncertain and deteriorate with age. We develop an implicit representation of the renewal boundary as the solution to a set of simultaneous equations. This quasi-analytical method has the merit of computational ease and transparency. We show that the correlation between revenues and operating costs has a significant influence on the renewal boundary, and that the increase in revenue immediately following a renewal has a greater relative influence on the boundary than either operating cost or renewal cost. The quasi-analytical method is sufficiently flexible to deal with other real option models involving 2 variables.

Using a novel deal/patent dataset from 1986 through 2005, this paper explores the role of knowledge flow on the firm boundary decision. I use patent self-citations and cross-citations from the United States patent database as a proxy to measure knowledge flow between and within firms. When analyzing partnerships (strategic alliances and joint ventures), I find that firms with a higher percentage of patent self-citations are more likely to choose a more integrative boundary. Additionally, the level of integration chosen is positively related to the frequency of cross-citations between firms following the formation of the partnership. Firms in partnerships also see higher abnormal returns around the partnership announcement date when their partnering firm has a higher percentage of self-citations. I find weak to no evidence that these results hold for mergers/acquisitions. Overall, the evidence suggests that knowledge assets do play a pivotal role in the firm boundary choice.