This dissertation analyzes equilibrium in a dynamic pure-exchange economy under a generalization of Merton's (1987) investor recognition hypothesis (IRH). Because of information costs, a class of investors is assumed to possess incomplete information, which suffices to implement only a...

We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of...

We discuss linear regression approaches to estimation of law invariant conditional risk measures. Two estimation procedures are considered and compared; one is based on residual analysis of the standard least squares method and the other is in the spirit of the M-estimation approach used in robust...

The purpose of this paper is to obtain insight into conditions under which a resource exchange alliance can provide greater profit than the setting without an alliance, and to propose a model to design a resource exchange alliance. We first consider a setting in which customers want a combined...

Many carriers, such as airlines and ocean carriers, collaborate through the formation of alliances. The detailed alliance design is clearly important for both the stability of the alliance and profitability of the alliance members. This work is motivated by a real-life liner shipping "resource...

Many carriers, such as airlines and ocean carriers, collaborate through the formation of alliances. The detailed alliance design is clearly important for both the stability of the alliance and profitability of the alliance members. This work is motivated by a real-life liner shipping "resource...

We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of...

This paper addresses law invariant coherent risk measures and their Kusuoka representations. By elaborating the existence of a minimal representation we show that every Kusuoka representation can be reduced to its minimal representation. Uniqueness -- in a sense specified in the paper -- of the...

The purpose of this paper is to obtain insight into conditions under which a resource exchange alliance can provide greater profit than the setting without an alliance, and to propose a model to design a resource exchange alliance. We first consider a setting in which customers want a combined...