Sustainable debt has become a key issue in rating of private as well as sovereign debtors. The problem of how to estimate sustainable debt has also been at the center of debate over theAsian 1997-1998 financial crisis. If the external value of the currency depends on the external debt of a...

The k Nearest Neighb or (kNN) density estimator first for-malized by Loftsgaarden and Quesenb erry (1965) is central to a broad range of the literature on density estimation. It is knownto b e strongly uniformly consistent if k increases appropriatelywith the sample size. The contribution of...

As early as 1934 Graham and Dodd conjectured that excess returns from value investment originate from a tendency of markets to converge towards fundamental values. This paper confirms their insights theoretically within the evolutionary finance model of Evstigneev, Hens, and Schenk-Hopp (2006)...

We apply the recurrent reinforcement learning method of Moody et al. (1998) in the context of the strategic asset allocation computed for sample data from the United States, the United Kingdom, and Germany. It is found that the optimal asset allocation deviates substantially from the fixed-mix...

We consider a dynamic general equilibrium model with incomplete markets in which we derive conditions for separating the savings decision from the asset allocation decision. It is shown that with logarithmic utility functions this separation holds for any heterogeneity of discount factors while...

Estimation of dynamic asset pricing models based on Generalized Method of moments is known to be inefficient and biased. One strand of the literature has provided more efficient estimators based on moment conditions. Here, we present an estimation method based on the numerical solution of the...

We argue that the equity premium puzzle stems from a mismatch of applying mental accounting to experiments on risk aversion but not to the standard consumption based asset pricing model. If, as we suggest, one applies mental accounting consistently in both areas the degrees of risk aversions...

Empirical investigations of analyts forecast surveys concerning financial or macroeconomic variables find significant time varying biases such as autocorrelation in the time series of forecast errors. This fact is usually attributed to behavioural biases of analysts. We develop a random...

Inspired by findings of lowdimensional nonlinearities and the Theorem of Takens (1983) forecasting models of financial time series are often built upon nonparametric, i.e. universal nonlinear, univariate relationships. Empirical investigations, however, are seriously contaminated by the problem...