Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...

In this paper, we state sufficiency, necessity, convergence, existence and uniqueness results for infinite horizon optimal control problems with unbounded payoffs in which the assumptions are very weak and there are no topological assumptions about the model components. We also state a sequence...

Multiplicity of equilibria is a common problem in many economic models. In general, it is impossible to devise methods that always find all equilibria for any type of model. A notable exception are models in which all equilibria are solutions to a system of polynomial equations since there are...

Assortment optimization is an important problem in revenue management arising in industries such as online advertising, retailing and airline ticketing. We study assortment optimization under an arbitrary mixture of multi-nomial logit (MNL) models, when the universe of products is dense. In...

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in...

Using big financial data for the price dynamics of U.S. equities, we investigate the impact that market microstructure noise has on modeling volatility of the returns. Based on wavelet transforms (DWT and MODWT) for decomposing the systematic pattern and noise, we propose a new wavelet-based...

Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...