Two finite-difference methods are constructed and used for the solution of a class of endogenous growth model with physical and human capital. Although both the numerical methods to be developed are implicit by construction, each of the methods can be implemented explicitly. The first method is...

A popular argument states that most of the diversification in a portfolio can be obtained with a rather small number of securities. In this paper we present three algorithms to approach the underlying NP-hard problem of portfolio optimization with a cardinality constraint. All three of these...

Nonlinear infinite horizon continuous time optimization problems are widely used in economics. However numerical solutions necessarily require reformulating the problem into a discrete finite approximation. The method proposed by Mercenier and Michel (1994) minimizes approximation error at...

The purpose of the paper is to derive and illustrate a new suboptimal-consistent feedback solution for infinite-horizon linear-quadratic dynamic Stackelberg games which is in the same solution space as the infinite-horizon dynamic programming feedback solution, but which puts the leader in a...

In this paper we investigate the performance of the threshold accepting heuristic for the index tracking problem. The index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to replicate the performance of a given index upon the...

This paper examines the issue of the generation of optimal control policies where there are explicit constraints upon the control values and there is limited knowledge of the complex economic system. The paper develops a methodology where the constrained optimal control is based upon a learning...

Mathematically oriented microeconomic research has contributed enormously to the understanding of economic behavior and the functioning of markets and institutions. However, theoretical as well as applied microeconomic studies may be driven too much by mathematical feasibility. An illustrative...

This paper uses a structural approach to examine who matches with whom. A two-sided matching model that allows for marital sorting in response to marriage market flexibility and agents' preferences is utilized. Estimation is based on imbedding the numerical solution of a matching model within a...

Portfolio manager's performance is often evaluated respect to a predetermined market benchmark. Usually the benchmark is an equity/bond portfolio or index for which the percentage and the bond duration are specified, so the manager's aim is to build a portfolio whose performance replicates the...

The rapid growth of a global electronic market place, together with the establishment of standard negotiation protocols, currently leads to the development of multi-agent architectures in which artificial agents can negotiate on behalf of their users. Ideally, these agents should be able to...