Sharpe et al. proposed the idea of having an expected utility maximizer choose a probability distribution for future wealth as an input to her investment problem instead of a utility function. They developed a computer program, called The Distribution Builder, as one way to elicit such a...

We present a technique for selecting multidimensional shock scenarios for use in financial stress testing. The methodology systematically enforces internal consistency among the shock dimensions by sampling points of arbitrary severity from a plausible joint probability distribution. The...

This paper investigates the intradaily operational efficiency of the U. S. foreign exchange market by conducting computer simulation experiments with market structure (the numbers of market?makers, brokers and customers). The results indicate significant operational inefficiencies which can be...