While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...

n an infinite horizon optimal control problem, the Hamiltonian vanishes at the infinite horizon, when the differential equation is autonomous. The integrand in the integral criterion may contain the time explicitly, but it has to satisfy certain integrability conditions. A generalization of...

Piecewise deterministic control problems are problems involving stochastic disturbance of a special type. In certain situations, in an otherwise deterministic control system, it may happen that the state jumps at certain stochastic points of time. Examples are sudden oil finds, or sudden...

The pseudo-isotropic multivariate distributions are shown to satisfy Ross' stochastic dominance criterion for two-fund monetary separation. The classical case of separation under abence of risk-free investment opportunity, admits a few particular generalizations to k-fund separation for...

The two fund separation property of the elliptical distributions is extended to the skew-elliptical and by adding a number of funds equalling the rank of the skewness matrix. Some elements of the generalization to singular extended skew-elliptical distributions are covered.

How the internet affects job matching is not well understood due to a lack of data on job vacancies and quasi-experimental variation in internet use. This paper helps fill this gap using plausibly exogenous roll-out of broadband infrastructure in Norway, and comprehensive data on recruiters,...

Labour market conditions at the time and place of potential entry into the labour market are shown to have a substantial and persistent impact on adult labour market performance. Birth cohorts that face particularly depressed labour markets when they graduate from primary- and/or secondary...

We use Norwegian register data from 1989 to 2002 to estimate the causal effects of programme participation on the transition rate from unemployment to employment,by means of a dependent risks hazard rate model. The separate roles of causality and unobserved heterogeneity are non-parametrically...

Based on a combined register database for Norwegian and Swedish unemployment spells, we use the ‘between-countries-variation’ in the unemployment insurance systems to identify causal effects. The elasticity of the job hazard rate with respect to the benefit replacement ratio is around -1.0...

Building on register data describing monthly labour market status for the whole Norwegian population 1992-95, we estimate grouped competing risk hazard rate models for transitions between employment, unemployment and non-participation. The models impose no parametric restrictions on either...