The problem of choosing optimal investment and consumption strategies has been widely studied. In continuous time theory the pioneering work by Merton (1969) is a standard reference. In his work, Merton studied a continuous time economy with constant investment opportunities. Since then Merton's...

A popular argument states that most of the diversification in a portfolio can be obtained with a rather small number of securities. In this paper we present three algorithms to approach the underlying NP-hard problem of portfolio optimization with a cardinality constraint. All three of these...

The assessment of models of financial market behaviour requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent based microsimulation models or multifractal models, simulation based estimators might provide an alternative. In order to apply such...

A dynamic Tobit model with Time-varying parameters is proposed for the daily reaction function of the Open Market Desk of the US Federal Reserve. Such a model offers a more realistic depiction of the Desk's behavior than those of past contributions in the literature as it allows for both...

In this paper we deal with the validation of an agent-based model and, in particular, with the technical validation process, that is to say all the set of test and methods used to analyze if the results of a simulation agree with reality. Today, thanks to some important studies, validation...

This paper concentrates on evaluating current econometric practices for estimating parameters of the Phillips curve (price stickiness, back-looking component, etc). Standard practices do not recognize the key role that monetary policy may have on shaping the results obtained

This paper proposes Lagrange Multiplier based panel unit root tests allowing for structural breaks through simple extensions of existing group mean and combination tests. The proposed tests are more general than those previously suggested. They consider potential breaks in the intercept, in the...

We deal with bootstrapping tests for detecting conditional heteroskedasticity in the context of standard and nonstandard ARCH models. We develope parametric and nonparametric bootstrap tests based both on the LM statistic and a neural statistic. The neural tests are designed to approximate an...

This paper contributes to the development of recent literature on the explanation power and calibration issue of heterogeneous asset pricing models by presenting a simple stochastic market fraction asset pricing model of two types of traders (fundamentalists and trend followers) under a market...

We propose a multivariate nonparametric technique for generating reliable historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and volatility matrix of a multivariate interest rate...