In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...

We apply numerical dynamic programming to multi-asset dynamic portfolio optimization problems with proportional transaction costs. Examples include problems with one safe asset plus two to six risky stocks, and seven to 360 trading periods in a finite horizon problem. These examples show that it...

We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is...

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

This paper investigates to what extent and through which channels that health and educational attainment are interdependent. A dynamic model of schooling, work, health expenditure, and savings is developed. The structural framework explicitly models two existing hypotheses on the correlation...

We propose a model of equilibrium contracting between two agents who are "boundedly rational" in the sense that they face time-costs of deliberating current and future transactions. We show that equilibrium contracts may be incomplete and assign control rights: they may leave some enforceable...

In this paper we investigate optimal harvesting of a renewable natural resource. While in the standard approach the resource is located at a single point in space we allow for the resource to be distributed over the plane. Consequently, an agent who exploits the resource has to travel from one...

We present and evaluate a numerical optimization method (together with an algorithm for choosing the starting values) pertinent to the constrained optimization problem arising in the estimation of the GARCH models with inequality constraints, in particular the Simplified Component GARCH Model...

__Abstract__ Many of the world’s most urgent problems such as climate change, population growth, poverty, malnutrition and environmental degradation not only demand solutions but also require us to find more sustainable ways of living. Market mechanisms can be effective in solving large-scale...