Investors often wish to insure themselves against the payoff of their portfolios falling below a certain value. One way of doing this is by purchasing an appropriate collection of traded securities. However, when the derivatives market is not complete, an investor who seeks portfolio insurance...

In this article we perform a computational study of Polyrakis algorithms presented in [12,13]. These algorithms are used for the determination of the vector sublattice and the minimal lattice-subspace generated by a finite set of positive vectors of R^k. The study demonstrates that our findings...

To improve the detection of the economic ”danger zones” from which severe banking crises emanate, this paper introduces classification tree ensembles to the banking crisis forecasting literature. I show that their out-of-sample performance in forecasting binary banking crisis indicators...

Cross section consumer expenditure data are frequently used to make conclusions about consumer demand behavior. Such conclusions, however, can only be justified under certain assumptions, which are often left unstated in the empirical demand literature. An assumption of this type, the metonymy...

pagehe problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices or LIBOR rates, rather than on the instantaneous rates as in the traditional models. Forward and spot probability measures are...

In this paper, we report on a series of free-form bargaining experiments in which two players have to distribute four indivisible goods among themselves. In one treatment the monetary payoffs associated with each bundle of goods are common knowledge; in a second treatment only the ordinal ranking...

It is shown how one can effectively use cross-section data in modelling the change over time in aggregate consumption expenditure of a heterogeneous population. The starting point of our aggregation analysis is a dynamic behavioral relation on the household level. Based on certain hypotheses on...

Let S=(S_t), t=0,1,...,T (T being finite), be an adapted R^d-valued process. Each component process of S might be interpreted as the price process of a certain security. A trading strategy H=(H_t), t= 1,...,T, is a predictable R^d-valued process. A strategy H is called extreme if it represents a...

We report results of experiments designed to test the predictions of the best reply process. In a Cournot oligopoly with four firms, the best reply process should theoretically explode if demand and cost functions are linear. We find, however, no experimental evidence of such instability....

Pricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with infinitely increasing maturities: long...