In many traditional financial and economic models, economic agents are assumed to make decisions using expected lifetime utility under rational expectations, where rational expectations are assumed to be formed on the basis of sufficient knowledge of the data generating process. But the mere...

The CAPM is one of the basic models in finance, combining one-period ahead exogenously given (rational) expectations and mean-variance preferences. This combination results in implications that are heavily criticized, both empirically and theoretically, resulting in a rejection of mean-variance...

The traditional finance approach combines the rational expectations hypothesis with the assumption of no arbitrage. However, the numerous anomalies reported in the finance literature reject this approach. The behavioral finance approach takes rational expectations as the maintained hypothesis...

This paper introduces a simulation model extending the well known Capital Asset Pricing Model by Sharpe and Lintner. Investors are modeled as multi-period forward looking portfolio optimizers. However, the future is not known \emph{a priori}, but has to be modeled and estimated. We allow agents...

We propose an easy to use derivative-based two-step estimation procedure for semiparametric index models, where the number of indexes is not known a priori. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel...

Deciding how much to save for retirement is a difficult task that includes many uncertainties. In this paper, we use data from a representative Dutch household panel to study the impact of uncertainty regarding one's savings adequacy on retirement savings contributions and information search...

Being able to accurately predict what a customer will purchase next is of paramount importance to successful online retailing. Given the large assortments maintained by online retailers, scalability of the prediction method is just as important as its accuracy. In this paper we study scalable...

We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators. The functionals used provide moment conditions...

Marketing problems sometimes concern the analysis of dichotomous variables, like for example ``buy'' and ``not buy'' and ``respond'' and ``not respond''. It can happen that one outcome strongly outnumbers the other, for example when many households do not respond (to a direct mailing, for...

Customer lifetime value (CLV) is a key-metric within CRM. Although, a large number of marketing scientists and practitioners argue in favor of this metric, there are only a few studies that consider the predictive modeling of CLV. In this study we focus on the prediction of CLV in multi-service...