This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the researcher can only evaluate an approximated likelihood associated with the approximated policy...

This paper considers a new problem for portfolio optimization with a choice of a probability measure, particularly, an optimal investment problem under sentiments. Firstly, we formulate the problem as a sup-sup-inf problem consisting of optimal investment and a choice of a probability measure...

This paper uses laboratory experiments to study subjects' assessment of uncertainty resulting from strategic and non-strategic decisions of other players. Non-strategic events are defined by the colors of balls drawn from urns, whereas strategic events are defined by the action choice in Stag...

Giles and Sheridan-Methven propose Multi-level Monte Carlo (MLMC) with approximate normal random variables. In this article, we develop this approach by embedding the approximate CIR process, which is approximated using the quantiles of the non-central chi-squared random variable. Under mild...

The first page of the 18 year old, F. P. Ramsey’s very short three page review, in the Cambridge Magazine issue of Jan., 1922, of Keynes’s A Treatise on Probability is comprised of claims about Keynes’s logical theory of probability that, to use L. J. Savage’s characterization of...

We consider extreme value analysis in a semi-supervised setting, where we observe, next to the n data on the target variable, n +m data on one or more covariates. This is called the semi-supervised model with n labeled and m unlabeled data. By exploiting the tail dependence between the target...

The mathematical equations Keynes wrote out in chapter 17, in explaining his generalization of his theory of liquidity preference, are simplifications of his conventional coefficient of weight and risk, c ,that were used by Keynes to integrate non additivity(V(a/h)=w)and non linearity{[1/(1+q)]}...

Sraffa made a number of margin notes in chapter 17 in his copy of the General Theory .Contrary to Joan Robinson’s 1978 claim ,that Sraffa had uncovered logical and mathematical errors in Keynes’s liquidity preference theory of the rate of interest when he generalized his theory in chapter...

Sudden jumps in the stock market have a significant impact on consumers’ wealth. A market crash, in particular, can devastate lives and destabilize the entire economy. Therefore, it would be desirable if consumers, policy makers, and financial intermediaries could better anticipate such...