In this paper we compare expected loss minimization to worst-case or minimax analysis in the design of simple Taylor-style rules for monetary policy using a small model estimated for the euro area by Orphanides and Wieland (2000). We find that rules optimized under a minimax objective in the...

The existence of uncertainty influences the investment, production and pricing decision of firms. Therefore, capacity expansion models need to take into account uncertainty. This uncertainty, may arise because of errors in the specification, statistical estimation of relationships and in the...

We present an international portfolio optimization model where we take into account the two different sources of return of an international asset: the local returns denominated in the local currency, and the returns on the foreign exchange rates. The explicit consideration of the returns on...