Portfolio theory deals with the question of how to allocate resources among several competing alternatives (stocks, bonds), many of which have an unknown outcome. In this paper we provide an overview of different portfolio models with emphasis on the corresponding optimization problems. For the...

Herbert Simon advocates that economists should study procedural rationality instead of substantive rationality. One approach for studying procedural rationality is to consider algorithmic representations of procedures, which can then be studied using the concepts of computability and complexity....

Interval arithmetic provides an efficient method of global optimization. With less efficiency all stationary points of a function can be found. A minimization method is described and applied to an econometric function. The results are compared with the method of simulated annealing on the same...

The latest, 1990-91 recession marks the ninth downturn in the U.S. economy during the past fifty years. There is scope for adding extensions to the methodology of monitoring such major economic fluctuations. The use of artificial neural networks is proposed here. For demonstration a case study...

The paper describes a fast and general numerical algorithm for computing path integrals in function spaces. Efficiency is ensured by use of FFT-based procedures as the primary element of the algorithm. The total number of operations required by the algorithm can be shown to be proportional to...

This paper presents a feedforward network estimation algorithm that addresses two issues, (i) avoiding local inferior minima to the performance criteria, and (ii) imposing a priori constraints to improve generalization and test economic hypotheses. The algorithm combines methods either...

In this paper, the methods of time series for nonlinearity are briefly surveyed, with particular attention paid to a new test design based on a neural network specification. The proposed integrated expert system contains two main components: an identification environment and a robust forecasting...

In this paper, we report results of experiments investigating use of a genetic algorithm to select an index of leading economic indicators. Genetic algorithms apply operations of mutation, reproduction, and crossover to candidate solutions according to their relative fitness scores in successive...

This paper considers an infinite horizon investment-consumption model in which a single agent consumes and distributes his wealth between two assets, a bond and a stock. The problem of maximization of the total utility from consumption is treated, when state (amount allocated in assets) and...