The paper studies the impact of a diversification vs. a core-competence oriented strategy using an agent-based simulation model with the aim to analyze whether agent-based models are a viable tool for analyzing questions related to corporate strategy.

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation - given a history period for which a regression relationship is known to be stable,...

This paper investigates whether the inherent non-stationarity of macroeconomic time series is entirely due to a random walk or also to non-linear components. Applying the numerical tools of the analysis of dynamical systems to long time series for the US, we reject the hypothesis that these...

In this paper we propose a multi-colony Ant System, where the colonies solve a multi-objective optimization problem concerned with goods transportation.

...Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long...

When running agent-based simulations using ready-made components, one usually faces heterogenity problems both for the agents implementation and for the underlying platform. To circumvent these kind of hindrances, we introduce a wrapper technique for mapping the functionality of agents living in...

Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true....

Replicator dynamics are an increasingly popular device for obtaining (local) solutions of considerably high quality to so-called standard quadratic optimization problems, which consist of finding maxima of (possibly indefinite) quadratic forms over the standard simplex. In the simplest version...

Okun's Law postulates an inverse relationship between movements of the unemployment rate and the real gross domestic product (GDP). Empirical estimates for US data indicate that a two to three percent GDP growth rate above the natural or average GDP growth rate causes unemployment to decrease by...

This paper accompanies a previous one from 1999 by D. Kramkov and the present author. There, we considered utility functions $U:\R_+ \to \R$ satisfying the Inada conditions $U'(0)=\infty$ and $U'(\infty)=0$, in the present paper we consider utility functions $U:\R\to\R$ which are finitely...