Recently Wang and Wirjanto (1997) proposed a simple dynamic model to study the optimal timing strategy for an individual's migration decision, using the theory of the optimal timing of investment under uncertainty, reviewed in Dixit (1992), Dixit and Pindyck (1994), and Pindyck (1991). It is...

This paper tests the prediction of the Permanent Income Hypothesis (PIH) that news about future income induce a revision in consumption equal to the revision in permanent income. We use time-series data from 48 contiguous US states to perform the test. The empirical results provide some support...

There is substantial empirical literature which examines the relationship between private and public consumption. The conclusions from this literature, however, are generally mixed. In this paper, we attempt to provide some additional evidence on this relationship. We consider a two-good...

In this paper we introduce resampling techniques to a multi-layer feed-forward neural network model for noisy financial time series in order to obtain more reliable interval forecasts of the time series along with a large amount of statistical information associated with the observed data. In...

This paper examines the effect of the proportion of females in the establishment on the male/female wage gap and the effectiveness of an affirmative action program in reducing this gap. A unique data set makes this paper possible since it has information on both individuals and the...

We develop a model for an investor with multiple priors and aversion to ambiguity. We characterize the multiple priors by a quot;confidence intervalquot; around the estimated expected returns and we model ambiguity aversion via a minimization over the priors. Our model has several attractive...

We develop a model of portfolio choice to nest the views of Keynes---who advocates concentration in a few familiar assets---and Markowitz---who advocates diversification across assets. We rely on the concepts of ambiguity and ambiguity aversion to formalize the idea of investor's...

We develop a model of portfolio choice capable of nesting the views of Keynes, advocating concentration in a few familiar assets, and Markowitz, advocating diversification across all available assets. In the model, the return distributions of risky assets are ambiguous, and investors are averse...

In this paper, we extend the mean-variance portfolio model where expected returns are obtained using maximum likelihood estimation to explicitly account for uncertainty about the estimated expected returns. In contrast to the Bayesian approach to estimation error, where there is only a single...

In this paper, we study the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices in a pure-exchange economy with a representative agent who is averse not only to risk but...