Transcripts of the Federal Open Market Committee (FOMC) of the Federal Reserve and related documents provide new insights into how macro-policy makers characterized the labor market. Over the period of the 1980s and the 1990s, the Federal Reserve seemingly overemphasized the significance of...

The OECD complains that “… governments are often under pressure to offer a competitive tax environment,” and that “failure to collaborate … could be damaging in terms of … a race to the bottom with respect to corporate income taxes.” In other words, the OECD is admitting that the...

En el marco de los Debates Presidenciales de 2014, Fedesarrollo lideró la elaboración de varios documentos con propuestas de política pública en áreas críticas para el desarrollo económico y social del país. En este documento Hernando José Gómez y Daniel Mitchell abordan uno de esos...

We propose using the well-known conditional value at risk (CVaR) risk measure as a new methodology for incorporating robustness into portfolio optimization. Robustness in portfolio optimization can address the poor out-of-sample performance of the classical mean-variance optimization problems....

To capture mean reversion and sharp seasonal spikes observed in electricity prices, this paper develops a new stochastic model for electricity spot prices by time changing the Jump Cox-Ingersoll-Ross (JCIR) process with a random clock that is a composite of a Gamma subordinator and a...

We consider the problem of finding a strategy that tracks the volume weighted average price (VWAP) of a stock, a key measure of execution quality for large orders used by institutional investors. We obtain the optimal, dynamic, VWAP tracking strategy in closed form in a model with general price...

Performance fees that are designed to incentivize money managers to exert more effort may also distort a manager's risk choices. In this paper, we analyze the impact of the standard performance fee contract that includes what is known as a high-water mark provision. We investigate the effect the...

Since 2015, there has been an increase in articles on anomaly detection in robotic systems, reflecting its growing importance in improving the robustness and reliability of the increasingly utilized autonomous robots. This review paper investigates the literature on the detection of anomalies in...