There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, ∞). We provide an extension of this class to the case where the shape...

The price of crude oil has been subject to periodical fluctuations as a consequence of changes in seasonal demand and supply, as well as weather, natural disasters, and global political unrest. Accurate forecast of crude oil prices is of utmost importance for decision-makers and industry players...

We study (interim correlated) rationalizability in a game with incomplete information. We characterize the recursive set of possible rationalizable hierarchies through a finite automaton and provide a revelation principle that characterizes the distributions over these hierarchies that arise...

This study analyzes survey data of US east coast homeowners to characterize accuracy and determinants of homeowner flood risk (mis)perceptions. Using an array of instruments, we assess subjective risk perceptions and compare them to objective risk estimates. Reduced-form regressions suggest...

Knight’s risk/uncertainty distinction is reviewed in its original context as a contribution to the theory of profit. Knight’s approach to probability is paralleled by Ludwig von Mises, as emphasised by recent developments in strategic entrepreneurship theory. Von Mises distinguishes between...

In goals-based wealth management (GBWM), an investor looks to maximize the probabilities of attaining each of n goals over time. Because the goals are in competition for potentially limited financial resources, their relative importance must be specified, which we do by assigning utility weights...

Predictive regressions are widely used in empirical economics and finance to investigate the Granger causality test, linear rational expectations hypothesis test, and market efficiency hypothesis. This paper develops a new unified predictability test regardless of the properties of predictors....