We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

In this paper, we consider the stochastic ray production function that has been revived recently by Henningsen et al. (2017). We use a profit-maximizing framework to resolve endogeneity problems that are likely to arise, as in all distance functions, and we derive the system of equations after...

In this paper we explore the use of Genetic Algorithms (GA) to calibrate seasonal BVAR models. In this way, the mechanistic use of seasonal adjustment procedures is avoided, since seasonality becomes a structural, basic and explicit part of the BVAR model. At the same time, the use of GA allows...

Business and distribution strategy planning are usually carried out in a sequence. A company first devises a business plan and then a distribution strategy able to accommodate it. The separation in planning can lead to a sub-optimal decision. We propose a method of how to concurrently plan both...

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...