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Foldes, Lucien P

Professor Lucien P Foldes

Department

Position held

Department of Economics

Emeritus Professor of Economics

Financial Markets Group (FMG)

Systemic Risk Centre

Experience keywords:

capital theory; finance; growth models; investment appraisal; martingale methods; probability; stochastic growth models; stochastic modelling

Research summary > [Click to expand]

Applications of probability in Capital Theory and Finance, in particular, stochastic models of optimal saving, growth and portfolio selection. Martingale and differential equation methods related to these problems. Investment appraisal and micro-economic decision problems generally.

Languages:

French [Spoken: Intermediate, Written: Fluent]; German [Spoken: Fluent, Written: Fluent]

Media experience:

Radio; TV

Contact Points

LSE phone number:

+44 (0)20 7849 4962

LSE email:

l.foldes@lse.ac.uk

Alt phone number:

+44 (0)20 7955 7002

Publications

2014

Foldes, Lucien (2014) The optimal consumption function in a Brownian model of accumulation part b: existence of solutions of boundary value problems SRC Discussion Paper, No 25. Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

2004

Foldes, Lucien (2004) Continuous time optimal stochastic growth: local martingales, transversality and existence 479. Financial Markets Group, London School of Economics and Political Science, London, UK.

Foldes, Lucien (2004) Continous time optimal stochastic growth: local martingales, transversality and existence Discussion paper, 479. Financial Markets Group, London School of Economics and Political Science, London, UK.

2001

Foldes, Lucien (2001) Optimal saving and risk in continuous time In: Schaefer, Stephen M., (ed.) The Foundations of Continuous Time Finance. Edward Elgar, Cheltenham, UK. ISBN 978 1 85898 750 7

Foldes, Lucien (2001) The optimal consumption function in a Brownian model of accumulation part a: the consumption function as solution of a boundary value problem Journal of Economic Dynamics and Control, 25 (12). 1951-1971. ISSN 0165-1889

2000

Foldes, Lucien (2000) Valuation and martingale properties of shadow prices: an exposition Journal of Economic Dynamics and Control, 24 (11-12). 1641-1701. ISSN 0165-1889

Foldes, Lucien (2000) Valuation and Martingale properties of shadow prices 342. Financial Markets Group, London School of Economics and Political Science, London, UK.

1996

Foldes, Lucien (1996) The optimal consumption function in a Brownian model of accumulation. Part b: existence of solutions of boundary value problems TE/96/310. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

Foldes, Lucien (1996) The optimal consumption function in a Brownian model of accumulation. Part a: the consumption function as solution of a boundary value problem TE/96/297. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

1992

Foldes, Lucien (1992) Semimartingale calculus in portfolio theory. In: Oberwolfach Conference on Mathematical Finance, 23-29 August 1992, Oberwolfach, Germany

Foldes, Lucien (1992) Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments Stochastics and Stochastic Reports, 41 (4). 241-267. ISSN 1744-2508

1991

Foldes, Lucien (1991) Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments 109. Financial Markets Group, London School of Economics and Political Science, London, UK.

Foldes, Lucien (1991) Optimal sure portfolio plans Mathematical Finance, 1 (2). 15-55. ISSN 0960-1627

1990

Foldes, Lucien (1990) Certainty equivalence in the continuous-time-portfolio-cum-saving-model In: Davis, M. H. A. and Elliot, R. J., (eds.) Applied Stochastic Analysis. Gordon & Breach Science Publishers Ltd, Hawthorn, Australia, 343-387. ISBN 9782881247163

Foldes, Lucien (1990) Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments Stochastics and Stochastic Reports, 29 (1). 133-170. ISSN 1744-2508

Foldes, Lucien (1990) Certainty equivalence in the continuous-time portfolio-cum-saving model 95. Financial Markets Group, London School of Economics and Political Science, London, UK.

Foldes, Lucien (1990) Optimal sure portfolio plans 106. Financial Markets Group, London School of Economics and Political Science, London, UK.

1989

Foldes, Lucien (1989) Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments 53. Financial Markets Group, London School of Economics and Political Science, London, UK.

1982

Foldes, Lucien and Watson, Pauline (1982) Quarterly returns to investment in ordinary shares, 1919-1970 Economica, 49 (194). 161-181. ISSN 0013-0427

Foldes, Lucien and Watson, Pauline (1982) Time series analysis of UK and US equity portfolios 1926-70 Papers on capital and risk, 8. RTZ, London, UK.

1981

Foldes, Lucien and Watson, Pauline (1981) Quarterly returns to treasury bills: U.K. and U.S. 1926-75 Papers on capital and risk, 7. RTZ, London, UK.

1978

Foldes, Lucien and Watson, Pauline (1978) Quarterly returns to UK equities 1919-1970 .

Foldes, Lucien (1978) Optimal saving and risk in continuous time Review of Economic Studies, 45 (1). 39-65. ISSN 0034-6527

Foldes, Lucien and Watson, Pauline (1978) Quarterly returns to U.K. equities 1919-70 Papers on capital and risk, 6. RTZ, London, UK.

Foldes, Lucien (1978) Martingale conditions for optimal saving: discrete time Journal of Mathematical Economics, 5 (1). 83-96. ISSN 0304-4068

1977

Foldes, Lucien and Rees, R. (1977) A note on the arrow-lind theorem American Economic Review, 67 (2). 188-193. ISSN 0002-8282

1976

Orhnial, Tony and Foldes, Lucien (1976) Estimates of marginal tax rates for dividends and bond interest in the United Kingdom 1919-1970 Papers on capital and risk, 4. Business Evaluation Department, RTZ, & London School of Economics and Political Science, London, UK.

1975

Orhnial, A. J. H. and Foldes, Lucien (1975) Tax uncertainty in project evaluation: a case study Accounting and Business Research. ISSN 2159-4260

Orhnial, A. J. H. and Foldes, Lucien (1975) Estimates of marginal tax rates for dividends and bond interest in the United Kingdom 1919-1970 Economica, 42 (165). 79-91. ISSN 0013-0427

1973

Foldes, Lucien (1973) Some comments on the theory of monopoly In: Peston, Maurice and Corry, Bernard, (eds.) Essays in Honour of Lord Robbins. International Arts and Sciences Press, New York, USA. ISBN 0873320433

1972

Foldes, Lucien (1972) Expected utility and continuity Review of Economic Studies, 39 (4). 407-421. ISSN 0034-6527

Foldes, Lucien (1972) The effect of connection charges on the number of connections and on the prices and rents of houses The London School of Economics and Political Science, London, UK.

1971

Foldes, Lucien (1971) Inflation and financial accounts: the treatment of loan capital The Accountant. ISSN 0001-4710

1968

Foldes, Lucien (1968) Redistribution: a reply Economica, 35 (138). 198-204. ISSN 0013-0427

1967

Foldes, Lucien (1967) A note on redistribution Economica, 34 (134). 203-205. ISSN 0013-0427

Foldes, Lucien (1967) Income redistribution in money and in kind Econometrica, 133 (34). 30-41. ISSN 1468-0262

Foldes, Lucien (1967) Discussion of professor Borch's paper 'the theory of risk' Journal of the Royal Statistical Society. Series B, 29 (3). 460-460. ISSN 1467-9868

1965

Foldes, Lucien (1965) A note on individualistic explanations In: Lakatos, I. and Musgrave, A., (eds.) Problems in the Philosophy of Science: Proceedings of the International Colloquium in the Philosophy of Science. North Holland, UK.

1964

Foldes, Lucien (1964) A determinate model of bilateral monopoly Economica, 31 (122). 117-131. ISSN 0013-0427

1961

Foldes, Lucien (1961) Domestic air transport policy. Part i Economica, 28 (110). 156-175. ISSN 0013-0427

Foldes, Lucien (1961) Domestic air transport policy - part ii Economica, 28 (111). 270-285. ISSN 0013-0427

Foldes, Lucien and Wilson, S. S. (1961) 55 iron and steel companies, 1948-59 London and Cambridge Economic Bulletin.

Foldes, Lucien (1961) Imperfect capital markets and the theory of investment Review of Economic Studies, 28 (3). 182-195. ISSN 1467-937X

1958

Foldes, Lucien (1958) Uncertainty, probability and potential surprise Economica, 25 (99). 246-254. ISSN 0013-0427

1957

Foldes, Lucien (1957) The control of nationalised industries Public Law. ISSN 0033-3565

Foldes, Lucien (1957) Military budgeting and financial control Public Administration Review, 17 (1). 36-43. ISSN 1540-6210

1956

Foldes, Lucien (1956) Iron and steel prices Economica, 23 (92). 344-356. ISSN 0013-0427

1955

Foldes, Lucien (1955) The delegation of authority to spend Economica, 22 (87). 246-260. ISSN 0013-0427