Bidding in different (single object) auctions, or cross-bidding, and bidding incrementally within one auction, or nibbling, are two phenomena observed in platforms like eBay. This paper tests with numerical methods the validity of a theoretical setting that rationalizes such behavior, while...

We study the empirical performance of alternative risk and reward specifications in portfolio selection. In particular, we look at models that take into account asymmetry of returns, and treat losses and gains differently. In tests on a dataset of German equities, we find that portfolios...

We consider a discrete-time optimal consumption and investment problem of an investor who is interested in maximizing his utility from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes...

The purpose of this paper is to model the influence of Kantian moral scruples in a dynamic environment. Our objectives are twofold. Firstly, we investigate how a Nash equilibrium among agents who have moral scruples may ensure that the exploitation of a common-property renewable resource is...

We study the dynamic problem of pollution control enacted by some policy of regulation and mitigation. The dynamics of the transition from one level of regulation and mitigation to another usually involves inter-temporal trade-offs. We focus on how different policymaker's time horizons affect...

Will capital controls enhance macroeconomic stability? How will the results be influenced by the exchange rate regime and monetary policy reaction? Are the consequences of policy decisions involving capital controls easily predictable, or more complicated than may have been anticipated? We will...

In this paper, we employ the agent-based macroeconomic Eurace@Unibi model to study the economic implications of different degrees of de-centralization in the wage setting. We think of de-centralization as wages being a weighted average of an economy-wide "union wage" and a firm-specific...

We propose a multi-agent approach to compare the effectiveness of macroprudential capital requirements, where banks are embedded in an artificial macroeconomy. Capital requirements are derived from alternative systemic risk metrics that reflect both the vulnerability and impact of financial...

This paper discusses the complexity and computability of the ‘Deissenberg Problem’ of finding the ‘best’ point in the efficient set. It is shown that the problem is computably undecidable and that the efficient set of the problem is algorithmically complex.