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Uninsurable Risks of Floods, Deluges, Overflows and the System of Solution
Insurance pool Flood Flood fund Gross premium Uninsurable risk
2016/1/27
Uninsurable risks have significant impact on expenses of private and public sectors of economy. In spite of several commercial insurance products and high quality of insurance services current trend o...
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
2015/8/5
A solution method and an estimation method for nonlinear rational expectations
models are presented in this paper. The solution method can be used in forecasting and
policy applications and can hand...
Estimation and Solution of Linear Rational Expectations Models Using a Polynomial Matrix Factorization
Linear Rational Expectations Models Polynomial Matrix Factorization
2015/8/4
Estimation and Solution of Linear Rational Expectations Models Using a Polynomial Matrix Factorization.
Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods
Linear-quadratic approximation Nonlinear models Numerical solution methods
2015/8/4
The purpose of this article is to report on a comparison of several alternative numerical solution
techniques for nonlinear rational-expectations models. The comparison was made by asking
individual...
Facts and Figuring:An Experimental Investigation of Network Structure and Performance in Information and Solution Spaces
Networks Organizational Structure Performance
2015/4/29
Using data from a novel laboratory experiment on complex problem solving in which we varied the network structure of 16-person organizations, we investigate how an organization's network structure sha...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
multi-period asset allocation quadratic utility function closed-form solution tan-gency portfolio
2012/9/14
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under we...
Inf-convolution of g_\Gamma-solution and its applications
CBSDE convex risk measure inf-convolution g -solution optimal investment
2011/3/31
A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case.
Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
Portfolio Optimization Optimisation Random Portfolio Monte Carlo Simplex
2010/10/21
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and conside...
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
HJB Equation Numerical Solution Penalty Method
2010/10/21
We present a simple and easy to implement method for the numerical solution of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many cases, the considered problems have only a vi...
Unemployment and inflation in Western Europe: solution by the boundary element method
unemployment inflation labor force boundary integral method prediction Western Europe
2010/10/29
Using an analog of the boundary element method in engineering and science, we analyze and model
unemployment rate in Austria, Italy, the Netherlands, Sweden, Switzerland, and the United States as a f...
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
explicit solution optimal stopping/optimal control problem models asset sale
2010/12/20
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposu...
Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
Optimal solution investment problems via linear parabolic equations generated Kalman filter
2010/12/17
We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the mar...
Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems
Limit Solutions Finite Horizon Problems Optimal Solution Infinite Horizon Optimization Problems
2010/12/17
We aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We ...
A Formal Economic Theory for Happiness Studies: A Solution to the Happiness-Income Puzzle
Economics of Happiness Happiness-Income Puzzle Reference Group Theory Pareto Optimality
2010/7/2
This paper develops a formal economic theory that is mainly proposed to explain and study the Easterlin paradox — a puzzle at the heart of our lives: average happiness levels do not increase as countr...