We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition,...

We propose a novel methodology for forecasting chaotic systems which uses information on local Lyapunov exponents (LLEs) to improve upon existing predictors by correcting for their inevitable bias. Using simulated data on the nearest-neighbor predictor, we show that accuracy gains can be...

We provide the closed form solution to the Dasgupta-Heal-Solow-Stiglitz (DHSS) model. The DHSS model is based on the seminal articles Dasgupta and Heal (Rev. Econ. Stud.,1974), Solow (Rev. Econ. Stud.,1974) and Stiglitz (Rev. Econ. Stud.,1974) and describes an economy with two assets, man-made...

We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition,...

At any given point in time, the collection of assets existing in the economy is observable. Each asset is a function of a set of contingencies. The union taken over all assets of these contingencies is what we call the set of publicly known states. An innovation is a set of states that are not...

Social interactions arguably provide a rationale for several important phenomena, from smoking and other risky behavior in teens to e.g., peer effects in school performance. We study social interactions in dynamic economies. For these economies, we provide existence (Markov Perfect Equilibrium...

In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the...

We construct a model of valuation to assess the financial fragility of a set of firms in a closed economy. A firm is identified with a possibly infinite random sequence of benefits. Firms with negative benefits in a given period are said to be in distress and need liquidity to refinance their...

We construct a model of valuation to assess the financial fragility of a set of firms in a closed economy. A firm is identified with a possibly infinite random sequence of benefits. Firms with negative benefits in a given period are said to be in distress and need liquidity to refinance their...

At any given point in time, the collection of assets existing in the economy is observable. Each asset is a function of a set of contingencies. The union taken over all assets of these contingencies is what we call the set of publicly known states. An innovation is a set of states that are not...