We extend the hiring and firing framework of Shepp and Shiryaev (J Econ Dyn Control 20:1523–1539, <CitationRef CitationID="CR5">1996</CitationRef>) to include infighting, and solve the profit-maximization problem using our numerical technique. With infighting, we find a smaller optimal firm size, and lowered firm value that stems from...</citationref>

Using high-frequency S&P 500 data, we examined intraday efficiency by comparing the ability of several nonlinear models to forecast returns for horizons of 5, 10, 30 and 60 min. Taking into account fat tails and volatility dynamics, we compared the forecasting performance of simple random walk...

For a general Markowitz portfolio selection problem with linear inequality constraints, it is not possible to obtain a closed form solution. The number of parametric intervals and corresponding segments of the efficient frontier is not known a priori. In this paper, we analyze the structure of...

In this paper we generalize different approaches of estimating the ridge parameter k proposed by Muniz et al. (Comput Stat, <CitationRef CitationID="CR16">2011</CitationRef>) to be applicable for logistic ridge regression (LRR). These new methods of estimating the ridge parameter in LRR are evaluated by means of Monte Carlo simulations...</citationref>

In this article, a dynamic Principal–Agent model with discrete actions is analysed from a Multi-Objective optimization framework. As a result, a concave Pareto Frontier is numerically approximated. The concavity of the Pareto Frontier is a consequence of the information asymmetry between the...