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Efficient Solution and Computation of Models with Occasionally Binding Constraints

Böhl, Gregor - 2022

Structural estimation of macroeconomic models and new HANK-type models with extremely high dimensionality require fast and robust methods to efficiently deal with occasionally binding constraints (OBCs). This paper proposes a novel algorithm that solves for the perfect foresight path of...

Persistent link: https://www.econbiz.de/10014030468

Robust monetary policy under uncertainty about the lower bound

Tillmann, Peter - In: The B.E. journal of macroeconomics 21 (2021) 1, pp. 309-321

Persistent link: https://www.econbiz.de/10012437728

Optimal monetary policy under uncertainty

Froyen, Richard T.; Guender, Alfred V. - 2019 - Second edition

Persistent link: https://www.econbiz.de/10012107825

Optimal monetary policy under uncertainty

Froyen, Richard T.; Guender, Alfred V. - 2019 - Second edition

Contents: Preface -- Part I: Imperfect information, responses to shocks, and credibility issues -- 1. Introduction, Part 1 -- 2. A basic model and some early results -- 3. The strategy of monetary policy: Targets, instruments and information variables -- 4. A variable price level, supply shocks...

Persistent link: https://www.econbiz.de/10012251849

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

Persistent link: https://www.econbiz.de/10008797745

Robust Optimization of the 0-1 Knapsack Problem - Balancing Risk and Return in Assortment Optimization

Rooderkerk, Robert P. - 2015

this 0-1 knapsack problem, retailers should also consider the risk associated with every assortment. While every product in …. Therefore, retailers face the difficult task of designing a portfolio of products that balances risk and return. In this paper …-time heuristic that solves this problem. The heuristic constructs an approximation of the risk-return Efficient Frontier of …

Persistent link: https://www.econbiz.de/10013013958

Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization

Shah, Anish - 2021

Covariance appears throughout investment management, e.g., in risk reporting and control, portfolio construction, risk … risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …

Persistent link: https://www.econbiz.de/10013251623

Accuracy, speed and robustness of policy function iteration

Richter, Alexander W.; Throckmorton, Nathaniel A.; … - In: Computational economics 44 (2014) 4, pp. 445-476

Persistent link: https://www.econbiz.de/10010489870

Exact Utilities Under Alternative Monetary Rules in a Simple Macro Model with Optimizing Agents

Henderson, Dale W.; Kim, Jinill - 2001

We construct an optimizing-agent model of a closed economy which is simple enough that we can use it to make exact utility calculations. There is a stabilization problem because there are one-period nominal contracts for wages, or prices, or both and shocks that are unknown at the time when...

Persistent link: https://www.econbiz.de/10014154210

Are non-fundamental equilibria learnable in models of monetary policy?

Honkapohja, Seppo (contributor); Mitra, Kaushik (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001615216