In this paper we study Markov Decision Process (MDP) problems with the restriction that at decision epochs only a finite number of given Markovian decision rules may be applied. The elements of the finite set of allowed decision rules should be mixed to improve the performance. The set of...

A version of the classical secretary problem is studied, in which one is interested in selecting one of the <I>b</I> best out of a group of <I>n</I> differently ranked persons who are presented one by one in a random order. It is assumed that <I>b</I> is bigger than or equal to 1 is a preassigned number. It is...</i></i></i>

The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...

Outcomes of the shallow lake interest conflict are presented in a number of different contexts: quasi-static and dynamic social planning, and quasi-static one-shot and repeated non-cooperative play. As the underlying dynamics are non-convex, the analysis uses geometrical-numerical methods: the...

Unique-lowest sealed-bid auctions are auctions in which participation is endogenous and the winning bid is the lowest bid among all unique bids. Such auctions admit very many Nash equilibria (NEs) in pure and mixed strategies. The two-bidders' auction is similar to the Hawk-Dove game, which...

Contemporary financial stochastic programs typically involve a trade-off between return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

This paper explores the interaction between retirement flexibility and portfolio choice in an overlapping-generations model of a closed economy. Retirement flexibility is often seen as a hedge against capital market risks which justifies more risky asset portfolios. We show, however, that this...

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

In this paper we describe the extreme points of two closely related polytopes that are assigned to a digraph. The first polytope is the set of all sharing vectors (elements from the unit simplex) such that each node gets at least as much as each of its successors. The second one is the set of...

Many economic and social situations can be represented by a digraph. Both axiomatic and iterative methods to determine the strength or power of all the nodes in a digraph have been proposed in the literature. We propose a new method, where the power of a node is determined by both the number of...