We study the inverse power index problem for weighted voting games: the problem of finding a weighted voting game in which the power of the players is as close as possible to a certain target distribution. Our goal is to find algorithms that solve this problem exactly. Thereto, we study various...

In this paper we introduce the notion of themes as an additional investment dimension beyond asset classes, regions, sectors and styles, and we propose a framework to allocate to thematic investments at a strategic asset allocation level. The goal of thematic investments is to provide the means...

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk (VaR) or expected shortfall (ES) as risk...

Recent policy proposals call for setting up a benchmark indexed bond market to prevent "Sudden Stops". This paper analyzes the macroeconomic implications of these bonds using a general equilibrium model of a small open economy with financial frictions. In the absence of indexed bonds, negative...

Base rate neglect has been shown to be a very robust bias in human information processing. It has also been show to be ecologically rational in some environments. However, when arguing about base rate neglect usually isolated individuals are considered. I complement these results by showing that...