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A Unified Approach to Portfolio Optimization with Linear Transaction Costs

Zakamouline, Valeri - EconWPA - 2004

singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the …

Persistent link: https://www.econbiz.de/10005125672

What causes the forecasting failure of Markov-Switching models? A Monte Carlo study

Bessec, Marie; Bouabdallah, Othman - EconWPA - 2005

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications by applying...

Persistent link: https://www.econbiz.de/10005556398

Prevention and detection in bribery-affected public procurement

Abramo, Claudio Weber - EconWPA - 2003

overall likelihood of bribing tends to a maximum determined by the control mechanisms. The factors affecting the expectation … aimed at continuously perfecting the regulations and the control mechanisms. As the latter are expensive, it is argued that … the overall efficiency of the system, including but beyond control of corruption. …

Persistent link: https://www.econbiz.de/10005408440

What If? A Look at Integrity Pacts

Abramo, Claudio Weber - EconWPA - 2003

This note examines the Integrity Pact (IP) methodology proposed by Transparency International to confront the problem of corruption in public procurement. The examination draws from a decision model for participants developed elsewhere, in which the critical elements are shown to be the...

Persistent link: https://www.econbiz.de/10005556938

Architectures of Control in Consumer Product Design

Lockton, Daniel - EconWPA - 2005

The idea of architectures of control is introduced through examples ranging from urban planning to digital rights …

Persistent link: https://www.econbiz.de/10005118858

A Tale of Two Wages: Separating Contract from Governance

Harvey S. James Jr. - EconWPA - 1997

This paper distinguishes between governance structure and contractual form. The basic premise is that researchers often confuse these two concepts when they develop or empirically test models within the transaction cost framework. In the paper I utilize a simple principal- agent model to show...

Persistent link: https://www.econbiz.de/10005561837

Markov Chain Approximations For Term Structure Models

Backus, David; Wu, Liuren; Zin, Stanley - EconWPA - 2002

We derive discrete markov chain approximations for continuous state equilibrium term structure models. The states and transition probabilities of the markov chain are chosen effciently according to a quadrature rule as in Tauchen and Hussey (1991). Quadrature provides a simple yet method which...

Persistent link: https://www.econbiz.de/10005134854

Common Priors and Markov Chains

Samet, Dov - EconWPA - 1996

The type function of an agent, in a type space, associates with each state a probability distribution on the type space. Thus, a type function can be considered as a Markov chain on the state space. A common prior for the space turns out to be a probability distribution which is invariant under...

Persistent link: https://www.econbiz.de/10005550941